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Robust portfolio optimization with risk measures under distributional uncertainty
(Bilkent University, 2016-08)
In this study, we consider the portfolio selection problem with different risk measures and different perspectives regarding distributional uncertainty. First, we consider the problem of optimal portfolio choice using the ...
Row generation techniques for approximate solution of linear programming problems
(Bilkent University, 2010)
In this study, row generation techniques are applied on general linear programming problems with a very large number of constraints with respect to the problem dimension. A lower bound is obtained for the change in the ...