-case objective values of ARO and RO problems are equal. We prove that if the uncertainty is constraint-wise and the adjustable … corresponding (ARO) problem: (i) the problem is fixed recourse and the uncertainty set is compact, (ii) the problem is convex with … respect to the adjustable variables and concave with respect to the parameters defining constraint-wise uncertainty …

Decision-makers who usually face model/parameter risk may prefer to act prudently by identifying optimal contracts that … are robust to such sources of uncertainty. In this paper, we tackle this issue under a finite uncertainty set that … solved. Numerical experiments are run for various risk preference choices and it is found that for relatively large sample …

, lot sizing, and manpower management. We show that by iteratively splitting the uncertainty set into subsets one can … provide theoretical results how to split the uncertainty set by identifying sets of uncertain parameter scenarios to be … divided for an improvement in the worst-case objective value. Based on this theory, we propose several splitting heuristics …

We introduce a universal framework for mean-covariance robust risk measurement andportfolio optimization.We model … uncertainty in terms of the Gelbrich distance on the mean-covariance space, along with prior structural information about the … population distribution.Our approach is related to the theory of optimal transport and exhibits superior statistical …