Now showing items 1-10 of 12
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 ...
Robust screening under ambiguity
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 ...
Delegated portfolio management under ambiguity aversion
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 ...
The robust Merton problem of an ambiguity averse investor
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 ...
On robust mean-variance portfolios
(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 ...
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 ...
An improved probability bound for the Approximate S-Lemma
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.
Restricted robust uniform matroid maximization under interval uncertainty
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 ...
A note on robust 0-1 optimization with uncertain cost coefficients
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 ...
The robust spanning tree problem with interval data
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 ...