In our study, we integrate the data uncertainty of real-world models into our regulatory
systems and robustify them. We newly introduce and analyse robust time-discrete target …

Conservatism is the notorious problem of the worst-case robust portfolio optimization, and
this issue has raised broad discussion in academia. To this end, we propose the hybrid …

We develop robust models for optimization of the VaR (value at risk) and CVaR (conditional
value at risk) risk measures with a minimum expected return constraint under joint ambiguity …

Portfolio Diversification provides an update on the practice of combining several risky
investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book …

We consider incentive compensation where the firm has ambiguity on the effort-contingent
output distribution: The parameters of the output probability distribution are in an ellipsoidal …

Coarse woody debris (deadwood) serves as a dwelling space for many rare species, and is
therefore a most important factor to ensure diversity in forest ecosystems. However, wood …

This paper studies the saddle point problem of polynomials. We give an algorithm for
computing saddle points. It is based on solving Lasserre's hierarchy of semidefinite …

The portfolio revision process usually begins with a portfolio of assets rather than cash. As a
result, some assets must be liquidated to permit investment in other assets, incurring …

One of the most important problems faced by every investor is asset allocation. An investor
during making investment decisions has to search for equilibrium between risk and returns …

基于鲁棒均值–方差优化的发电自调度算法及鲁棒代价分析 Page 1 第35 卷第2 期 中国电机
工程学报 Vol.35 No.2 Jan.20, 2015 2015 年1 月20 日 Proceedings of the CSEE ©2015 Chin.Soc.for …