195 results found
Esteban Bravo M, Rustem B, Optimisation, Econometric and Financial Analysis
Gulpinar N, Rustem B, Robust investment policies with bound forecasts
We present a continuous minimax model for robust portfolio optimization based on worst-case analysis. The classical Markowitz framework is extended to continuous minimax with upper and lower bounds on the return scenarios and a discrete number of rival risk scenarios. The model integrates benchmark relative computations in view of scalable (not fixed) transaction costs. It evaluates worst-case optimal strategies in view of upper and lower bounds on forecast return and a discrete set of risk scenarios. Robustness arises from the non-inferiority of the min-max strategy. The robust optimal policies are obtained simultaneously with the worst-case scenario. We apply the model to a selection of investment problem and evaluate the ex-ante performance of the strategy using historical data.
Parpas P, Rustem B, Towards A Grid Market
In this paper we discuss a basic framework for a grid computing market. It has long been argued that pricing of computer resources can act as a scheduling protocol. We take this idea to its natural conclusion by discussing the basic properties of such a model. We introduce agents that own computer resources on the grid. We allow the agents to trade resources as well as consume resources for the benefit of their own computing needs. The aim is to study the behavior of such agents and discuss existence of equilibria between the price process and consumption of resources. At such an equilibrium point all the resources are consumed as soon as they are made available, and the market is at zero net supply.
Rustem B, WORST-CASE DESIGN IN OPTIMAL PORTFOLIOS
Optimal decisions robust to future uncertainties are considered. Both continuous and discrete sets of scenarios are discussed with algorithms for solving both cases. In the case of the former a quasi-Newton algorithm is discussed and in the case of the latter, a fast and easily implementable approach is introduced. Optimal portfolio results are used to illustrate the robustness properties of the strategy. A macroeconomic example is also considered.
Zakovic S, Rustem B, Wieland V, Optimisation of Stochastic Systems and Worst-case Analysis
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.
Luong DVN, Parpas P, Rueckert D, et 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
Faísca NP, Rustem B, Dua V, 2014, Bilevel and Multilevel Programming, Process Systems Engineering, Pages: 129-149, ISBN: 9783527631209
Kakouris I, Rustem B, 2014, Robust portfolio optimization with copulas, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, Vol: 235, Pages: 28-37, ISSN: 0377-2217
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
Kapsos M, Zymler S, Christofides N, et al., 2014, Optimizing the Omega ratio using linear programming, JOURNAL OF COMPUTATIONAL FINANCE, Vol: 17, Pages: 49-57, ISSN: 1460-1559
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.
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
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
Wiesemann W, Kuhn D, Rustem B, 2013, Robust Markov Decision Processes, MATHEMATICS OF OPERATIONS RESEARCH, Vol: 38, Pages: 153-183, ISSN: 0364-765X
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
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
Fonseca RJ, Rustem B, 2012, Robust hedging strategies, COMPUTERS & OPERATIONS RESEARCH, Vol: 39, Pages: 2528-2536, ISSN: 0305-0548
Fonseca RJ, Rustem B, 2012, International portfolio management with affine policies, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, Vol: 223, Pages: 177-187, ISSN: 0377-2217
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.
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
Luong DVN, Parpas P, Rueckert D, et 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
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
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
Wiesemann W, Kuhn D, Rustem B, 2012, Robust resource allocations in temporal networks, MATHEMATICAL PROGRAMMING, Vol: 135, Pages: 437-471, ISSN: 0025-5610
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
Faísca NP, Rustem B, Dua V, 2011, Bilevel and Multilevel Programming, Vol: 1, Pages: 129-149
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