Related papers: Optimization Method for Interval Portfolio Selecti…
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such models are inadequate for real-world markets as they employ…
This paper studies some unconventional utility maximization problems when the ratio type relative portfolio performance is periodically evaluated over an infinite horizon. Meanwhile, the agent is prohibited from short-selling stocks. Our…
Solving large-scale robust portfolio optimization problems is challenging due to the high computational demands associated with an increasing number of assets, the amount of data considered, and market uncertainty. To address this issue, we…
Uncertainty quantification for estimation through stochastic optimization solutions in an online setting has gained popularity recently. This paper introduces a novel inference method focused on constructing confidence intervals with…
I consider the task of experimental data fitting. Unlike the traditional approach I do not try to minimize any functional based on available experimental information, instead the minimization problem is replaced with constraint satisfaction…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
Obtaining a viable schedule baseline that meets all project constraints is one of the main issues for project managers. The literature on this topic focuses mainly on methods to obtain schedules that meet resource restrictions and, more…
Many investment models in discrete or continuous-time settings boil down to maximizing an objective of the quantile function of the decision variable. This quantile optimization problem is known as the quantile formulation of the original…
This survey is an introduction to asymptotic methods for portfolio-choice problems with small transaction costs. We outline how to derive the corresponding dynamic programming equations and simplify them in the small-cost limit. This allows…
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stochastic control problem is firstly solved by two new…
We use the technique of information relaxation to develop a duality-driven iterative approach to obtaining and improving confidence interval estimates for the true value of finite-horizon stochastic dynamic programming problems. We show…
Profile likelihood confidence intervals are a robust alternative to Wald's method if the asymptotic properties of the maximum likelihood estimator are not met. However, the constrained optimization problem defining profile likelihood…
A set of intervals is independent when the intervals are pairwise disjoint. In the interval selection problem we are given a set $\mathbb{I}$ of intervals and we want to find an independent subset of intervals of largest cardinality. Let…
Portfolio optimization has been a major topic of research in finance, as it has a significant impact on investment profit. In this paper, we investigate the problem of data uncertainty in convex multi-objective portfolio optimization. We…
Forecasting is an indispensable element of operational research (OR) and an important aid to planning. The accurate estimation of the forecast uncertainty facilitates several operations management activities, predominantly in supporting…
Portfolio selection involves optimizing simultaneously financial goals such as risk, return and Sharpe ratio. This problem holds considerable importance in economics. However, little has been studied related to the nonconvexity of the…
Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributionally robust methodology for high-dimensional mean-variance…
This paper presents a mixed-integer linear programming formulation for the multi-mode resource-constrained project scheduling problem with uncertain activity durations. We consider a two-stage robust optimisation approach and find solutions…
This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…
Pairwise comparisons are a well-known method for the representation of the subjective preferences of a decision maker. Evaluating their inconsistency has been a widely studied and discussed topic and several indices have been proposed in…