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Robust price bounds for the forward starting straddle

Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214

Persistent link: https://www.econbiz.de/10011417160

Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614

Persistent link: https://www.econbiz.de/10010227929

A study of robust portfolio optimization with European options using polyhedral uncertainty sets

Ashrafi, Hedieh; Thiele, Aurélie C. - In: Operations research perspectives 8 (2021), pp. 1-18

We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as well as European options on those stocks, and the stock returns are modeled using an uncertainty set approach. Specifically, the manager knows a range forecast for each factor...

Persistent link: https://www.econbiz.de/10012435304

Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds

Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-41

Persistent link: https://www.econbiz.de/10012019745

Model-free assortment pricing with transaction data

Chen, Ningyuan; Cire, Andre A.; Hu, Ming; Lagzi, Saman - In: Management science : journal of the Institute for … 69 (2023) 10, pp. 5830-5847

Persistent link: https://www.econbiz.de/10014393034

A nonparametric algorithm for optimal stopping based on robust optimization

Sturt, Bradley - In: Operations research 71 (2023) 5, pp. 1530-1557

Persistent link: https://www.econbiz.de/10014393150

A bilevel model for robust network design and biomass pricing under farmers' risk attitudes and supply uncertainty

Li, Qiaofeng; Üster, Halit; Zhang, Zhi-Hai - In: Transportation science 57 (2023) 5, pp. 1296-1320

Persistent link: https://www.econbiz.de/10014393358

Affinely adjustable robust optimization for a multi-period inventory problem with capital constraints and demand uncertainties

Qiu, Ruozhen; Sun, Yimeng; Sun, Minghe; Yu, Yue - In: International transactions in operational research : a … 31 (2024) 1, pp. 415-447

Persistent link: https://www.econbiz.de/10014430554

A variable neighborhood search for the robust capacitated p-median problem

Campos, Rafael; Chagas, Guilherme O.; Coelho, Leandro C.; … - 2023

Persistent link: https://www.econbiz.de/10014364501

Finding regions of counterfactual explanations via robust optimization

Maragno, Donato; Kurtz, Jannis; Röber, Tabea E.; … - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 5, pp. 1316-1334

Persistent link: https://www.econbiz.de/10015164507