## Search

Now showing items 31-40 of 57

#### 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 ...

#### Generalized second price auction is optimal for discrete types

(Elsevier, 2016)

We prove that a variant of the second price auction for the sale of a single good through a Bayesian incentive compatible mechanism that maximizes expected revenue of the seller is optimal when the type space is discrete. ...

#### 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 integer programming model for pricing American contingent claims under transaction costs

(2012)

We study the problem of computing the lower hedging price of an American contingent claim in a finite-state discrete-time market setting under proportional transaction costs. We derive a new mixed-integer linear programming ...

#### OSPF routing with optimal oblivious performance ratio under polyhedral demand uncertainty

(Springer, 2010)

We study the best OSPF style routing problem in telecommunication networks, where weight management is employed to get a routing configuration with the minimum oblivious ratio. We consider polyhedral demand uncertainty: ...

#### Gain-loss pricing under ambiguity of measure

(E D P Sciences, 2010)

Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation ...

#### Pricing American contingent claims by stochastic linear programming

(Taylor & Francis, 2009)

We consider pricing of American contingent claims (ACC) as well as their special cases, in a multi-period, discrete time, discrete state space setting. Until now, determining the buyer's price for ACCs required solving an ...

#### Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming

(Elsevier, 2010)

We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a "λ gain-loss ratio opportunity". Pricing results somewhat different from, but ...

#### Measures of model uncertainty and calibrated option bounds

(Taylor & Francis, 2009)

Recently, Cont introduced a quantitative framework for measuring model uncertainty in the context of derivative pricing [Model uncertainty and its impact on the pricing of derivative instruments, Math. Finance, 16(3) (2006), ...

#### Optimal oblivious routing under linear and ellipsoidal uncertainty

(Springer, 2008)

In telecommunication networks, a common measure is the maximum congestion (i.e., utilization) on edge capacity. As traffic demands are often known with a degree of uncertainty, network management techniques must take into ...