Imperial College London

Emeritus ProfessorBercRustem

Faculty of EngineeringDepartment of Computing

Emeritus Professor
 
 
 
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Contact

 

+44 (0)20 7594 8345b.rustem Website

 
 
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Assistant

 

Dr Amani El-Kholy +44 (0)20 7594 8220

 
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Location

 

361Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Publication Type
Year
to

195 results found

Kapsos M, Christofides N, Rustem B, 2017, Robust risk budgeting, Annals of Operations Research, Pages: 1-23, ISSN: 0254-5330

© 2017 Springer Science+Business Media New York Risk based portfolio construction and particular risk parity or equally weighted risk contribution became popular among practitioners. These approaches focus only on risk and are agnostic with respect to the expected returns. In this paper, we consider risk budgeting; a generalization of risk parity. We propose an alternative formulation that is more efficient computationally. We introduce the robust risk budgeting, a robust variant of the standard risk budgeting that deals with the uncertainty in the input parameters. We show that the problem remains tractable under different types of uncertainty. We evaluate the proposed framework on real data and we observe a positive premium associated with the robust variant.

JOURNAL ARTICLE

Luong DVN, Parpas P, Rueckert D, Rustem Bet al., 2016, A Weighted Mirror Descent Algorithm for Nonsmooth Convex Optimization Problem, JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, Vol: 170, Pages: 900-915, ISSN: 0022-3239

JOURNAL ARTICLE

Faísca NP, Kouramas KI, Rustem B, Pistikopoulos ENet al., 2014, Dynamic Programming, Process Systems Engineering, Pages: 151-172, ISBN: 9783527631209

BOOK CHAPTER

Faísca NP, Rustem B, Dua V, 2014, Bilevel and Multilevel Programming, Process Systems Engineering, Pages: 129-149, ISBN: 9783527631209

BOOK CHAPTER

Kakouris I, Rustem B, 2014, Robust portfolio optimization with copulas, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, Vol: 235, Pages: 28-37, ISSN: 0377-2217

JOURNAL ARTICLE

Kapsos M, Christofides N, Rustem B, 2014, Worst-case robust Omega ratio, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, Vol: 234, Pages: 499-507, ISSN: 0377-2217

JOURNAL ARTICLE

Kapsos M, Zymler S, Christofides N, Rustem Bet al., 2014, Optimizing the Omega ratio using linear programming, JOURNAL OF COMPUTATIONAL FINANCE, Vol: 17, Pages: 49-57, ISSN: 1460-1559

JOURNAL ARTICLE

Kuhn D, Parpas P, Rustem B, 2014, Stochastic Optimization of Investment Planning Problems in the Electric Power Industry, Process Systems Engineering, Pages: 215-230, ISBN: 9783527631209

© 2014 Wiley-VCH Verlag GmbH & Co. KGaA. All rights reserved. Decisions on whether to invest in new power system infrastructure can have farreaching consequences. The timely expansion of generation and transmission capacities is crucial for the reliability of a power system and its ability to provide uninterrupted service under changing market conditions.We consider a local (e.g., regional or national) power system which is embedded into a deregulated electricity market. Assuming a probabilistic model for future electricity demand, fuel prices, equipment failures, and electricity spot prices, we formulate a capacity expansion problem which minimizes the sum of the costs for upgrading the local power system and the costs for operating the upgraded system over an extended planning horizon. The arising optimization problem represents a two-stage stochastic program with binary first-stage decisions. Solution of this problem relies on a specialized algorithm which constitutes a symbiosis of a regularized decomposition method and a branch-and-bound scheme.

BOOK CHAPTER

Kong FW, Parpas P, Rustem B, 2013, Sum of Non-Concave Utilities Maximization for MIMO Interference Systems, IEEE TRANSACTIONS ON WIRELESS COMMUNICATIONS, Vol: 12, Pages: 1744-1751, ISSN: 1536-1276

JOURNAL ARTICLE

Kong FW, Rustem B, 2013, Welfare-maximizing correlated equilibria using Kantorovich polynomials with sparsity, JOURNAL OF GLOBAL OPTIMIZATION, Vol: 57, Pages: 251-277, ISSN: 0925-5001

JOURNAL ARTICLE

Wiesemann W, Kuhn D, Rustem B, 2013, Robust Markov Decision Processes, MATHEMATICS OF OPERATIONS RESEARCH, Vol: 38, Pages: 153-183, ISSN: 0364-765X

JOURNAL ARTICLE

Wiesemann W, Tsoukalas A, Kleniati P-M, Rustem Bet al., 2013, PESSIMISTIC BILEVEL OPTIMIZATION, SIAM JOURNAL ON OPTIMIZATION, Vol: 23, Pages: 353-380, ISSN: 1052-6234

JOURNAL ARTICLE

Zymler S, Kuhn D, Rustem B, 2013, Distributionally robust joint chance constraints with second-order moment information, MATHEMATICAL PROGRAMMING, Vol: 137, Pages: 167-198, ISSN: 0025-5610

JOURNAL ARTICLE

Zymler S, Kuhn D, Rustem B, 2013, Worst-Case Value at Risk of Nonlinear Portfolios, MANAGEMENT SCIENCE, Vol: 59, Pages: 172-188, ISSN: 0025-1909

JOURNAL ARTICLE

Fonseca RJ, Rustem B, 2012, Robust hedging strategies, COMPUTERS & OPERATIONS RESEARCH, Vol: 39, Pages: 2528-2536, ISSN: 0305-0548

JOURNAL ARTICLE

Fonseca RJ, Rustem B, 2012, International portfolio management with affine policies, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, Vol: 223, Pages: 177-187, ISSN: 0377-2217

JOURNAL ARTICLE

Fonseca RJ, Wiesemann W, Rustem B, 2012, Robust international portfolio management, Computational Management Science, Vol: 9, Pages: 31-62, ISSN: 1619-697X

We present an international portfolio optimization model where we take into account the two different sources of return of an international asset: the local returns denominated in the local currency, and the returns on the foreign exchange rates. The explicit consideration of the returns on exchange rates introduces non-linearities in the model, both in the objective function (return maximization) and in the triangulation requirement of the foreign exchange rates. The uncertainty associated with both types of returns is incorporated directly in the model by the use of robust optimization techniques. We show that, by using appropriate assumptions regarding the formulation of the uncertainty sets, the proposed model has a semidefinite programming formulation and can be solved efficiently. While robust optimization provides a guaranteed minimum return inside the uncertainty set considered, we also discuss an extension of our formulation with additional guarantees through trading in quanto options for the foreign assets and in equity options for the domestic assets. © 2011 Springer-Verlag.

JOURNAL ARTICLE

Kong FW, Kleniati P-M, Rustem B, 2012, Computation of Correlated Equilibrium with Global-Optimal Expected Social Welfare, JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, Vol: 153, Pages: 237-261, ISSN: 0022-3239

JOURNAL ARTICLE

Luong DVN, Parpas P, Rueckert D, Rustem Bet al., 2012, Solving MRF Minimization by Mirror Descent, 8th International Symposium on Visual Computing (ISVC), Publisher: SPRINGER-VERLAG BERLIN, Pages: 587-598, ISSN: 0302-9743

CONFERENCE PAPER

Vayanos P, Kuhn D, Rustem B, 2012, A constraint sampling approach for multi-stage robust optimization, AUTOMATICA, Vol: 48, Pages: 459-471, ISSN: 0005-1098

JOURNAL ARTICLE

Wiesemann W, Kuhn D, Rustem B, 2012, Multi-resource allocation in stochastic project scheduling, ANNALS OF OPERATIONS RESEARCH, Vol: 193, Pages: 193-220, ISSN: 0254-5330

JOURNAL ARTICLE

Wiesemann W, Kuhn D, Rustem B, 2012, Robust resource allocations in temporal networks, MATHEMATICAL PROGRAMMING, Vol: 135, Pages: 437-471, ISSN: 0025-5610

JOURNAL ARTICLE

Ye K, Parpas P, Rustem B, 2012, Robust portfolio optimization: a conic programming approach, COMPUTATIONAL OPTIMIZATION AND APPLICATIONS, Vol: 52, Pages: 463-481, ISSN: 0926-6003

JOURNAL ARTICLE

Faísca NP, Kouramas KI, Rustem B, Pistikopoulos ENet al., 2011, Dynamic Programming, Vol: 1, Pages: 151-172

JOURNAL ARTICLE

Faísca NP, Rustem B, Dua V, 2011, Bilevel and Multilevel Programming, Vol: 1, Pages: 129-149

JOURNAL ARTICLE

Fonseca RJ, Wiesemann W, Rustem B, 2011, A Semidefinite Programming Approach to Portfolio Optimization, 21st European Symposium on Computer Aided Process Engineering (ESCAPE-21), Publisher: ELSEVIER SCIENCE BV, Pages: 472-476, ISSN: 1570-7946

CONFERENCE PAPER

Fonseca RJ, Zymler S, Wiesemann W, Rustem Bet al., 2011, Robust optimization of currency portfolios, JOURNAL OF COMPUTATIONAL FINANCE, Vol: 15, Pages: 3-30, ISSN: 1460-1559

JOURNAL ARTICLE

Kong FW, Kuhn D, Rustem B, 2011, Welfare-maximizing correlated equilibria with an application to wireless communication, IFAC Proceedings Volumes (IFAC-PapersOnline), Vol: 18, Pages: 8920-8925, ISSN: 1474-6670

The set of correlated equilibria is convex and contains all Nash equilibria as special cases. Thus, the social welfare-maximizing correlated equilibrium is amenable to convex analysis and offers social welfare that is at least as good as the game's best performing Nash equilibria.We employ robust semidefinite programming (SDP) for computing the social welfare-maximizing correlated equilibria in static polynomial games, giving rise to a dedicated sequential SDP algorithm, the first of this type that can cope with multivariate strategy sets. We apply this algorithm to a wireless communication problem, where two mutually-interfering transmitters and receivers maximize their channel capacities. © 2011 IFAC.

JOURNAL ARTICLE

Kuhn D, Parpas P, Rustem B, 2011, Stochastic Optimization of Investment Planning Problems in the Electric Power Industry, Vol: 5, Pages: 215-230

Decisions on whether to invest in new power system infrastructure can have farreaching consequences. The timely expansion of generation and transmission capacities is crucial for the reliability of a power system and its ability to provide uninterrupted service under changing market conditions.We consider a local (e.g., regional or national) power system which is embedded into a deregulated electricity market. Assuming a probabilistic model for future electricity demand, fuel prices, equipment failures, and electricity spot prices, we formulate a capacity expansion problem which minimizes the sum of the costs for upgrading the local power system and the costs for operating the upgraded system over an extended planning horizon. The arising optimization problem represents a two-stage stochastic program with binary first-stage decisions. Solution of this problem relies on a specialized algorithm which constitutes a symbiosis of a regularized decomposition method and a branch-and-bound scheme. © 2008 Wiley-VCH Verlag GmbH & Co. KGaA.

JOURNAL ARTICLE

Luong DVN, Rueckert D, Rustem B, 2011, Incorporating hard constraints into non-rigid registration via nonlinear programming, Conference on Medical Imaging 2011 - Image Processing, Publisher: SPIE-INT SOC OPTICAL ENGINEERING, ISSN: 0277-786X

CONFERENCE PAPER

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