Browsing by Keywords "Robust optimization"
Now showing items 118 of 18

Delegated portfolio management under ambiguity aversion
(2014)We examine the problem of setting optimal incentives for a portfolio manager hired by an investor who wants to induce ambiguityrobust portfolio choices with respect to estimation errors in expected returns. Adopting a ... 
An improved probability bound for the Approximate SLemma
(Elsevier, 2007)The purpose of this note is to give a probability bound on symmetric matrices to improve an error bound in the Approximate SLemma used in establishing levels of conservatism results for approximate robust counterparts. 
A note on robust 01 optimization with uncertain cost coefficients
(Springer, 2004)Based on the recent approach of Bertsimas and Sim (2004, 2003) to robust optimization in the presence of data uncertainty, we prove an easily computable and simple bound on the probability that the robust solution gives ... 
On robust meanvariance portfolios
(Taylor and Francis, 2016)We derive closedform portfolio rules for robust mean–variance portfolio optimization where the return vector is uncertain or the mean return vector is subject to estimation errors, both uncertainties being confined to an ... 
On the Sprocedure and some variants
(Springer, 2006)We give a concise review and extension of Sprocedure that is an instrumental tool in control theory and robust optimization analysis. We also discuss the approximate SLemma as well as its applications in robust optimization. 
Provisioning virtual private networks under traffic uncertainty
(John Wiley & Sons, 2007)We investigate a network design problem under traffic uncertainty that arises when provisioning Virtual Private Networks (VPNs): given a set of terminals that must communicate with one another, and a set of possible traffic ... 
Restricted robust uniform matroid maximization under interval uncertainty
(Springer, 2007)For the problem of selecting p items with interval objective function coefficients so as to maximize total profit, we introduce the rrestricted robust deviation criterion and seek solutions that minimize the rrestricted ... 
Robust decentralized investment games
(Bilkent University, 201609)In the first part of the thesis, assuming a oneperiod economy with an investor and two portfolio managers who are experts in investing each in a risky asset (or an index) with first and second moment information available ... 
The robust Merton problem of an ambiguity averse investor
(Springer, 2017)We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. Confidence is here represented using ellipsoidal uncertainty sets for ... 
The robust network loading problem under hose demand uncertainty: formulation, polyhedral analysis, and computations
(Institute for Operations Research and the Management Sciences (I N F O R M S), 2011)We consider the network loading problem (NLP) under a polyhedral uncertainty description of traffic demands. After giving a compact multicommodity flow formulation of the problem, we state a decomposition property obtained ... 
Robust optimization for the discrete timecost tradeoff problem with cost uncertainty
(Springer International Publishing, 2015)Projects are subject to various sources of uncertainty that hamper reaching project targets; hence, it is crucial importance to use effective approaches to generate robust project schedules, which are less vulnerable to ... 
Robust optimization for the discrete timecost tradeoff problem with cost uncertainty
(Springer, 2015)Projects are subject to various sources of uncertainty that hamper reaching project targets; hence, it is crucial importance to use effective approaches to generate robust project schedules, which are less vulnerable to ... 
Robust optimization models for the dicrete time/cost tradeoff problem
(Elsevier, 201103)Developing models and algorithms to generate robust project schedules that are less sensitive to disturbances are essential in today’s highly competitive uncertain project environments. This paper addresses robust ... 
Robust profit opportunities in risky financial portfolios
(Elsevier, 2005)For risky financial securities with given expected return vector and covariance matrix, we propose the concept of a robust profit opportunity in single and multipleperiod settings. We show that the problem of finding the ... 
Robust screening under ambiguity
(Springer, 2017)We consider the problem of screening where a seller puts up for sale an indivisible good, and a buyer with a valuation unknown to the seller wishes to acquire the good. We assume that the buyer valuations are represented ... 
The robust spanning tree problem with interval data
(Elsevier, 2001)Motivated by telecommunications applications we investigate the minimum spanning tree problem where edge costs are interval numbers. Since minimum spanning trees depend on the realization of the edge costs, we de5ne the ... 
Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens
(Taylor & Francis, 2014)In an economy with a negative exponential utility investor facing a set of risky assets with normally distributed returns over multiple periods, we consider the problem of making an ambiguityrobust dynamic portfolio choice ... 
Worstcase large deviations upper bounds for i.i.d. sequences under ambiguity
(Scientific and Technical Research Council of Turkey  TUBITAK,Turkiye Bilimsel ve Teknik Arastirma Kurumu, 20180122)An introductory study of large deviations upper bounds from a worstcase perspective under parameter uncertainty (referred to as ambiguity) of the underlying distributions is given. Borrowing ideas from robust optimization, ...