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

minimaxrobust optimizationrival scenarios

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 663895 (Why is no real title available?)
• scientific article; zbMATH DE number 2065136 (Why is no real title available?)
• scientific article; zbMATH DE number 1834580 (Why is no real title available?)
• A robust hedging algorithm
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• Comparisons of improved risk estimators of the multivariate mean vector
• Minimax hedging strategy
• On the performance of minimax estimators in linear regression
• Optimization of stochastic systems. Topics in discrete-time systems
• Robust Truss Topology Design via Semidefinite Programming
• Robust min-max portfolio strategies for rival forecast and risk scenarios
• Robust optimal decisions with stochastic nonlinear economic systems
• 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)

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

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