In portfolio management, Robust Conditional Value at Risk (Robust CVaR) has been proposed to deal with structured uncertainty in the estimation of the assets probability distribution. Meanwhile, regularization in portfolio optimization has been investigated as a way to construct portfolios that show satisfactory out-ofsample performance under estimation error. In this paper, we prove that optim...

This document provides a brief proposal for “Robust Optimization & Robust Control Synthesis” reading group.

The two most widely considered measures for optimization under uncertainty are minimizing expected cost and minimizing worst-case cost or regret. In this paper, we present a novel robustness measure that combines the two objectives by minimizing the expected cost while bounding the relative regret in each scenario. In particular, the models seek the minimum-expected-cost solution that is p-robu...

The classic approach in robust optimization is to optimize the solution with respect to the worst case scenario. This pessimistic approach yields solutions that perform best if the worst scenario happens, but also usually perform bad on average. A solution that optimizes the average performance on the other hand lacks in worst-case performance guarantee. In practice it is important to find a go...

After more than half a century mean variance analysis still remains the primary conceptual tool for understanding the trade-off between risk and return and for the definition of optimal investment portfolios. Despite its theoretical appeal practical applications have always experienced major difficulties. Optimal portfolio weights appear extremely sensitive to minor changes in expected returns ...

We address challenges of decision problems when managers need to optimize several conflicting objectives simultaneously under uncertainty. propose visualization tools support the solution such scenario-based multiobjective optimization problems. Suitable graphical visualizations are necessary in understanding, evaluating, and comparing performances management decisions according all plausible s...