Abstract-- A portfolio model to minimize the risk of falling under uncertainty is discussed. The risk of falling is represented by the value-at-risk of rate of return. Introducing ...
Portfolio management in finance is more than a mathematical problem of optimizing performance under risk constraints. A critical factor in practical portfolio problems is severe u...
Daniel Berleant, L. Andrieu, Jean-Philippe Argaud,...
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
We proposed a method to quantify the yield of an IT-investment portfolio in an environment of uncertainty and risk. For various common implementation scenarios such as growing dem...
This paper studies document ranking under uncertainty. It is tackled in a general situation where the relevance predictions of individual documents have uncertainty, and are depen...