Stability advances in robust portfolio optimization under parallelepiped uncertainty

Kara, Güray; Özmen, Ayşe; Weber, Gerhard‐Wilhelm

doi:10.1007/s10100-017-0508-5

Cited by 100 publications

(53 citation statements)

References 31 publications

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“…Robust optimization approach has been studied by many researchers as an effective method to overcome the real‐world instability . This technique can efficiently control the uncertainty level and yield feasible solutions with a high probability …”

Section: Problem Definitionmentioning

confidence: 99%

“…Robust optimization approach has been studied by many researchers as an effective method to overcome the real-world instability. [37][38][39][40][41][42][43][44] This technique can efficiently control the uncertainty level and yield feasible solutions with a high probability. 45 For a brief description, the robust optimization approach suggested by Bertsimas and Sim 45 is presented as follows.…”

Section: Robust Modelmentioning

confidence: 99%

“…In Problem (42), the variables of 0 , i , p 0j , p ij , and u j are used to adjust the robustness of the solutions. Furthermore, J 0 and J i are the set of uncertain parameters in the objective function and constraint i, respectively.…”

Section: Robust Modelmentioning

confidence: 99%

See 2 more Smart Citations

A robust green traffic‐based routing problem for perishable products distribution

Tirkolaee

Hadian

Weber

et al. 2019

Computational Intelligence

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Nowadays, transportation and logistics are considered as the drivers of economic development in the countries due to their impacts on the main variables of the country's economy such as production, employment, price, and the cost of living. Statistics indicate that fuel consumption constructs a major part of transportation costs, where its optimization leads to the creation of an energy‐efficient and sustainable transportation system. On the other hand, vehicles' traffic is also one of the main criteria affecting the travel time of vehicles between demand nodes in a supply chain, increasing fuel consumption, and, consequently, damaging effects of greenhouse gasses. In this paper, a novel robust mixed‐integer linear programming model is developed for a green vehicle routing problem with intermediate depots considering different urban traffic conditions, fuel consumption, time windows of services, and uncertain demand for perishable products. To validate and solve the suggested model, CPLEX solver of GAMS software is employed as an exact method. Finally, a case study problem is investigated to evaluate the applicability of the proposed model and determine the optimal managerial insights and policies in the real‐world conditions using sensitivity analyses. Moreover, a novel robustness threshold comparison is conducted to find the optimal level of budget assignment.

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Section: Problem Definitionmentioning

confidence: 99%

Section: Robust Modelmentioning

confidence: 99%

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A robust green traffic‐based routing problem for perishable products distribution

Tirkolaee

Hadian

Weber

et al. 2019

Computational Intelligence

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show abstract

“…Gotoh et al [17] analyzed the worst-case CVaR minimization by considering worst-case in return vectors. Kara et al [21] proposed a robust portfolio optimization model by constructing parallelepiped uncertainty set and applied it on CVaR of the portfolio. Postek et al [35] developed uncertainty sets for probability distributions from the goodness of fit test statistics for several risk measures including VaR and CVaR.…”

mentioning

confidence: 99%

Worst-case analysis of Gini mean difference safety measure

Sehgal¹,

Mehra²

2021

JIMO

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The paper introduces the worst-case portfolio optimization models within the robust optimization framework for maximizing return through either the mean or median metrics. The risk in the portfolio is quantified by Gini mean difference. We put forward the worst-case models under the mixed and interval+polyhedral uncertainty sets. The proposed models turn out to be linear and mixed integer linear programs under the mixed uncertainty set, and semidefinite program under interval+polyhedral uncertainty set. The performance comparison of the proposed models on the listed stocks of Euro Stoxx 50, Dow Jones Global Titans 50, S&P Asia 50, consistently exhibit advantage over their conventional non-robust counterpart models on various risk parameters including the standard deviation, worst return, value at risk, conditional value at risk and maximum drawdown of the portfolio.2010 Mathematics Subject Classification. Primary: 91G10, 91B30, 62G35; Secondary: 90C90, 90C05, 90C11.

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“…In the future we will extend the generalized solidarity value to the cooperative games under the above uncertain environments, such as cooperative games with coalitions' values represented by fuzzy sets, rough sets or stochastic variables. There are also some literatures about real-life applications in different fields such as transportation problem ( [30]), inventory model ( [28]), supply chain network design problem ( [7]), stochastic optimal control problem ( [31]), and robust optimization problem ( [15], [23], [24]). The generalized solidarity value may be applied to solve some problems in the above fields, such as cost allocation in inventory management and transportation problems.…”

mentioning

confidence: 99%

Extension of generalized solidarity values to interval-valued cooperative games

Li¹,

Ye²,

Wei³

2020

Journal of Industrial &Amp; Management Optimization

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The main purpose of this paper is to extend the concept of generalized solidarity values to interval-valued cooperative games and hereby develop a simplified and fast approach for solving a subclass of interval-valued cooperative games. In this paper, we find some weaker coalition monotonicity-like conditions so that the generalized solidarity values of the α-cooperative games associated with interval-valued cooperative games are always monotonic and non-decreasing functions of any parameter α ∈ [0, 1]. Thereby the intervalvalued generalized solidarity values can be directly and explicitly obtained by computing their lower and upper bounds through only using the lower and upper bounds of the interval-valued coalitions' values, respectively. The developed method does not use the interval subtraction and hereby can effectively avoid the issues resulted from it. Furthermore, we discuss the effect of the parameter ξ on the interval-valued generalized solidarity values of interval-valued cooperative games and some significant properties of interval-valued generalized solidarity values.2010 Mathematics Subject Classification. Primary: 91A12.

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Stability advances in robust portfolio optimization under parallelepiped uncertainty

Cited by 100 publications

References 31 publications

A robust green traffic‐based routing problem for perishable products distribution

A robust green traffic‐based routing problem for perishable products distribution

Worst-case analysis of Gini mean difference safety measure

Extension of generalized solidarity values to interval-valued cooperative games

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