Now showing items 41-50 of 57
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 ...
Generalized second price auction is optimal for discrete types
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 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 ...
Special issue on “Non-linear continuous optimization”
This special issue contains five papers dedicated to Nonlinear Continuous Optimization. All these contributions went through a strict and detailed refereeing process, and were revised according to the strict high standards ...
Optimal allocation with costly inspection and discrete types under ambiguity
(Taylor & Francis, 2017)
We consider the following problem: a principal has a good to allocate among a collection of agents who attach a private value to receiving the good. The principal, instead of using monetary transfers (i.e. charging the ...
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 ...
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 ...
A characterization of the optimal set of linear programs based on the augmented lagrangian
(Taylor & Francis, 1999)
It is proved that in a certain neighborhood of the optimal set of multipliers, the set of minimizers of the augmented lagrangian nmction generates a new characterization of the optimal solution set of the linear program.
Restoration of space-variant global blurs caused by severe camera movements and coordinate distortions
(IOP Science, 1998)
We show that a broad class of image recovery problems where an object undergoing an arbitrary two-dimensional, time- and space-variant, non-separable, nonlinear global coordinate distortion, is imaged for a certain duration, ...
Continuation method for nonlinear complementarity problems via normal maps
In a recent paper by Chen and Mangasarian (C. Chen, O.L. Mangasarian, A class of smoothing functions for nonlinear and mixed complementarity problems, Computational Optimization and Applications 2 (1996), 97±138) a class ...