Now showing items 1-18 of 18

    • Delegated portfolio management under ambiguity aversion 

      Fabretti, A.; Herzel, S.; Pınar, M. Ç. (2014)
      We examine the problem of setting optimal incentives for a portfolio manager hired by an investor who wants to induce ambiguity-robust portfolio choices with respect to estimation errors in expected returns. Adopting a ...
    • An improved probability bound for the Approximate S-Lemma 

      Derinkuyu, K.; Pınar, M. Ç.; Camcı, A. (Elsevier, 2007)
      The purpose of this note is to give a probability bound on symmetric matrices to improve an error bound in the Approximate S-Lemma used in establishing levels of conservatism results for approximate robust counterparts.
    • A note on robust 0-1 optimization with uncertain cost coefficients 

      Pınar, M. Ç. (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 mean-variance portfolios 

      Pınar, M. Ç. (Taylor and Francis, 2016)
      We derive closed-form 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 S-procedure and some variants 

      Derinkuyu, K.; Pınar, M. Ç. (Springer, 2006)
      We give a concise review and extension of S-procedure that is an instrumental tool in control theory and robust optimization analysis. We also discuss the approximate S-Lemma as well as its applications in robust optimization.
    • Provisioning virtual private networks under traffic uncertainty 

      Altın, A.; Amaldi, E.; Belotti, P.; Pınar, M. Ç. (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 

      Yaman, H.; Karaşan, O. E.; Pınar, M. Ç. (Springer, 2007)
      For the problem of selecting p items with interval objective function coefficients so as to maximize total profit, we introduce the r-restricted robust deviation criterion and seek solutions that minimize the r-restricted ...
    • Robust decentralized investment games 

      Çelik, Burak (Bilkent University, 2016-09)
      In the first part of the thesis, assuming a one-period 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 

      Biagini, S.; Pınar, M. Ç. (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 

      Altın, A.; Yaman, H.; Pınar, M. Ç. (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 time-cost tradeoff problem with cost uncertainty 

      Hazιr Ö.; Haouari M.; Erel E. (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 time-cost tradeoff problem with cost uncertainty 

      Hazır, Ö.; Haouari, M.; Erel, Erdal (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 trade-off problem 

      Hazır, O.; Erel, E.; Günalay, Y. (Elsevier, 2011-03)
      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 

      Pınar, M. Ç.; Tütüncü, R. H. (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 multiple-period settings. We show that the problem of finding the ...
    • Robust screening under ambiguity 

      Pınar, M. Ç.; Kızılkale, C. (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 

      Yaman, H.; Karaşan, O. E.; Pınar, M. Ç. (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 

      Pınar, M. Ç. (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 ...
    • Worst-case large deviations upper bounds for i.i.d. sequences under ambiguity 

      Pınar, M. Ç. (Scientific and Technical Research Council of Turkey - TUBITAK,Turkiye Bilimsel ve Teknik Arastirma Kurumu, 2018-01-22)
      An introductory study of large deviations upper bounds from a worst-case perspective under parameter uncertainty (referred to as ambiguity) of the underlying distributions is given. Borrowing ideas from robust optimization, ...