Related papers: Cost-efficient Payoffs under Model Ambiguity
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Bayesian experimental design involves the optimal allocation of resources in an experiment, with the aim of optimising cost and performance. For implicit models, where the likelihood is intractable but sampling from the model is possible,…
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"The Price of Robustness" by Bertsimas and Sim represented a breakthrough in the development of a tractable robust counterpart of Linear Programming Problems. However, the central modeling assumption that the deviation band of each…
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Given the marginal distribution information of the underlying asset price at two future times $T_1$ and $T_2$, we consider the problem of determining a model-free upper bound on the price of a class of American options that must be…
This paper studies dynamic asset allocation with interest rate risk and several sources of ambiguity. The market consists of a risk-free asset, a zero-coupon bond (both determined by a Vasicek model), and a stock. There is ambiguity about…
Problem definition: Traditional monopoly pricing assumes sellers have full information about consumer valuations. We consider monopoly pricing under limited information, where a seller only knows the mean, variance and support of the…
We consider a diffusive model for optimally distributing dividends, while allowing for Knightian model ambiguity concerning the drift of the surplus process. We show that the value function is the unique solution of a non-linear…
We study statistical inference and distributionally robust solution methods for stochastic optimization problems, focusing on confidence intervals for optimal values and solutions that achieve exact coverage asymptotically. We develop a…
Real-life parallel machine scheduling problems can be characterized by: (i) limited information about the exact task duration at scheduling time, and (ii) an opportunity to reschedule the remaining tasks each time a task processing is…
The deepening penetration of renewable resources into power systems entails great difficulties that have not been surmounted satisfactorily. An issue that merits special attention is the short-term planning of power systems under net load…
Equity premium, the surplus returns of stocks over bonds, has been an enduring puzzle. While numerous prior works approach the problem assuming the utility of money is invariant across contexts, our approach implies that in efficient…
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Consider the robust network design problem of finding a minimum cost network with enough capacity to route all traffic demand matrices in a given polytope. We investigate the impact of different routing models in this robust setting: in…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
This paper studies a robust continuous-time Markowitz portfolio selection pro\-blem where the model uncertainty carries on the covariance matrix of multiple risky assets. This problem is formulated into a min-max mean-variance problem over…
We consider distributionally robust optimization problems where the uncertainty is modeled via a structured Wasserstein ambiguity set. Specifically, the ambiguity is restricted to product measures $P^{\otimes N}$, where $P$ lies within a…