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Multi-stage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set
Postek, Krzysztof Stanisław; Hertog, Dirk den - 2014
Persistent link: https://www.econbiz.de/10011283891
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Multistage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set
Postek, Kryzsztof; Hertog, Dirk den - In: INFORMS journal on computing : JOC 28 (2016) 3, pp. 553-574
Persistent link: https://www.econbiz.de/10011539037
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Optimal monetary policy under model uncertainty without commitment
Orlik, Anna; Presno, Ignacio - 2013 - This version: October 27, 2013
This paper studies the design of optimal time-consistent monetary policy in an economy where the planner trusts its own model, while a representative household uses a set of alternative probability distributions governing the evolution of the exogenous state of the economy. In such environments,...
Persistent link: https://www.econbiz.de/10010240307
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A Robust Risk-Based Approach in Portfolio Management
Cesari, Riccardo - 2011
In this paper we define and compare versions of the robust and non robust portfolio selection models based on the use, as a measure of risk, of volatility, Value at Risk and Conditional Value at Risk. This with the aim to take account of asymmetries in distribution of yields, and in profits and...
Persistent link: https://www.econbiz.de/10013128519
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Hidden Convexity in Partially Separable Optimization
Ben-Tal, Aharon - 2011
The paper identifies classes of nonconvex optimization problems whose convex relaxations have optimal solutions which at the same time are global optimal solutions of the original nonconvex problems. Such a hidden convexity property was so far limited to quadratically constrained quadratic...
Persistent link: https://www.econbiz.de/10013123787
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Robust Solutions of Optimization Problems Affected by Uncertain Probabilities
Ben-Tal, Aharon - 2011
In this paper we focus on robust linear optimization problems with uncertainty regions defined by ø-divergences (for example, chi-squared, Hellinger, Kullback-Leibler). We show how uncertainty regions based on ø-divergences arise in a natural way as confidence sets if the uncertain parameters...
Persistent link: https://www.econbiz.de/10013124587
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Robust Portfolio Optimization with Value-At-Risk Adjusted Sharpe Ratio
Deng, Geng - 2014
We propose a robust portfolio optimization approach based on Value-at-Risk (VaR) adjusted Sharpe ratios. Traditional Sharpe ratio estimates based on limited historical return data are subject to estimation errors. Portfolio optimization based on traditional Sharpe ratios ignores this uncertainty...
Persistent link: https://www.econbiz.de/10013065458
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When are Static and Adjustable Robust Optimization with Constraint-Wise Uncertainty Equivalent?
Marandi, Ahmadreza - 2015
Adjustable Robust Optimization (ARO) yields, in general, better worst-case solutions than static Robust Optimization …-case objective values of ARO and RO problems are equal. We prove that if the uncertainty is constraint-wise and the adjustable … respect to the adjustable variables and concave with respect to the parameters defining constraint-wise uncertainty …
Persistent link: https://www.econbiz.de/10013014822
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Insights into Robust Portfolio Optimization : Decomposing Robust Portfolios into Mean-Variance and Risk-Based Portfolios
Perchet, Romain - 2015
For a number of different formulations of robust portfolio optimization, quadratic and absolute, we show that a) in the limit of low uncertainty in estimated asset mean returns the robust portfolio converges towards the mean-variance portfolio obtained with the same inputs; and b) in the limit...
Persistent link: https://www.econbiz.de/10013015830
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Robust Regression with Optimisation Heuristics
Gilli, Manfred - 2010
Linear regression is widely-used in finance. While the standard method to obtain parameter estimates, Least Squares, has very appealing theoretical and numerical properties, obtained estimates are often unstable in the presence of extreme observations which are rather common in financial time...
Persistent link: https://www.econbiz.de/10013152306