Robust Solutions to Least-Squares Problems with Uncertain Data
SIAM Journal on Matrix Analysis and Applications
Mathematics of Operations Research
Lectures on modern convex optimization: analysis, algorithms, and engineering applications
Lectures on modern convex optimization: analysis, algorithms, and engineering applications
Robust portfolio selection problems
Mathematics of Operations Research
Operations Research
Robust multiperiod portfolio management in the presence of transaction costs
Computers and Operations Research
A Robust Optimization Perspective on Stochastic Programming
Operations Research
Constructing Risk Measures from Uncertainty Sets
Operations Research
A robust mean absolute deviation model for portfolio optimization
Computers and Operations Research
Simulation and Optimization in Finance + Website: Modeling with MATLAB, @Risk, or VBA
Simulation and Optimization in Finance + Website: Modeling with MATLAB, @Risk, or VBA
Robust solutions of uncertain linear programs
Operations Research Letters
Robust linear optimization under general norms
Operations Research Letters
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Energy-dependent economies and energy security strategies need to cope with oil and gas supply disruptions that are rare but persistent and can be financially catastrophic. This paper proposes a tractable approach for determining robust investment strategies in petroleum markets under the risk of supply disruption when asset prices follow geometric mean-reverting jump processes. The robust counterpart of the portfolio management problem under supply disruption is derived for several symmetric and asymmetric representations of the uncertainties in the problem. Computational experiments with real market data indicate that the robust optimization approach using uncertainty sets tailored to the characteristics of the data results in strategies with superior worst-case performance.