Related papers: Sensitivity of robust optimization problems under …

We consider a financial market with a stock exposed to a counterparty risk inducing a drop in the price, and which can still be traded after this default time. We use a default-density modeling approach, and address in this incomplete…

In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…

Breakability rate of fragile item depends on the accumulated stress of heaped stock level. So breakablility rate can be considered as dependent parameter of stock variable. The unit production cost is a function of production rate and also…

We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…

The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time…

We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the classical results of Garleanu and Pedersen (2013), which…

Our goal is to build robust optimization problems for making decisions based on complex data from the past. In robust optimization (RO) generally, the goal is to create a policy for decision-making that is robust to our uncertainty about…

Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…

Optimization models have been broadly used within side the energy industry as useful decision-making systems for scheduling and dispatching electric powered energy resources; this is applied in a system called unit commitment (UC). Unit…

We consider the problem of utility maximization for investors with power utility functions. Building on the earlier work Larsen et al. (2016), we prove that the value of the problem is a Frechet-differentiable function of the drift of the…

In this paper, we study the asymptotic behavior of Asian option prices in the worst case scenario under an uncertain volatility model. We give a procedure to approximate the Asian option prices with a small volatility interval. By imposing…

We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE…

We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite-state Markov chain, the intensity of which can also be…

In this study we analyze linear mixed-integer programming problems, in which the distribution of the cost vector is only observable through a finite training data set. In contrast to the related studies, we assume that the number of random…

A variety of approaches has been developed to deal with uncertain optimization problems. Often, they start with a given set of uncertainties and then try to minimize the influence of these uncertainties. Depending on the approach used, the…

In this paper, we consider the chance constrained based uncertain portfolio optimization problem in which the uncertain parameters are stochastic in nature. The primary goal of the work is to formulate the uncertain problem into a…

We consider solving linear optimization (LO) problems with uncertain objective coefficients. For such problems, we often employ robust optimization (RO) approaches by introducing an uncertainty set for the unknown coefficients. Typical RO…

Operation management problems (such as Production Planning and Scheduling) are represented and formulated as optimization models. The resolution of such optimization models leads to solutions which have to be operated in an organization.…

This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously…

Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At…