Robust optimal decisions with imprecise forecasts

DOI10.1016/J.CSDA.2006.11.036MaRDI QIDQ1019992zbMATH OpenOpenAlexFDO

Authors Nalân Gülpinar, Berç Rustem

Publication date 29 May 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2006.11.036

zbMATH Keywords

minimaxrival scenariosrobust optimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06)

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Cites work

• A robust hedging algorithm
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• Minimax hedging strategy
• On the performance of minimax estimators in linear regression
• Optimization of stochastic systems. Topics in discrete-time systems
• Robust min-max portfolio strategies for rival forecast and risk scenarios
• Robust optimal decisions with stochastic nonlinear economic systems
• Robust Truss Topology Design via Semidefinite Programming
• Simulation and optimization approaches to scenario tree generation
• Stochastic and robust control of nonlinear economic systems
• The impact of general non-parametric volatility functions in multivariate GARCH models
• Worst-case estimation for econometric models with unobservable components
• Worst-case modelling for management decisions under incomplete information, with application to electricity spot markets
• Worst-case robust decisions for multi-period mean-variance portfolio optimization

Cited in

(8)

• Computational techniques for applied econometric analysis of macroeconomic and financial processes
• Robust min-max portfolio strategies for rival forecast and risk scenarios
• Road to robust prediction of choices in deterministic MCDM
• Robust portfolio selection problem under temperature uncertainty
• A robust desirability function method for multi-response surface optimization considering model uncertainty
• Robust investment decisions under supply disruption in petroleum markets
• Analysis of relationship between forward and spot markets in oligopolies under demand and cost uncertainties
• Worst-case robust decisions for multi-period mean-variance portfolio optimization

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