English

Multi-objective risk-averse two-stage stochastic programming problems

Optimization and Control 2017-11-20 v1 Risk Management

Abstract

We consider a multi-objective risk-averse two-stage stochastic programming problem with a multivariate convex risk measure. We suggest a convex vector optimization formulation with set-valued constraints and propose an extended version of Benson's algorithm to solve this problem. Using Lagrangian duality, we develop scenario-wise decomposition methods to solve the two scalarization problems appearing in Benson's algorithm. Then, we propose a procedure to recover the primal solutions of these scalarization problems from the solutions of their Lagrangian dual problems. Finally, we test our algorithms on a multi-asset portfolio optimization problem under transaction costs.

Keywords

Cite

@article{arxiv.1711.06403,
  title  = {Multi-objective risk-averse two-stage stochastic programming problems},
  author = {Çağın Ararat and Özlem Çavuş and Ali İrfan Mahmutoğulları},
  journal= {arXiv preprint arXiv:1711.06403},
  year   = {2017}
}

Comments

43 pages, 6 tables, 8 figures