Daniel Kuhn

Robust Portfolio Optimization with Derivative Insurance Guarantees

  • Daniel Kuhn
  • Berc Rustem
  • Steve Zymler
    • Categories Finance and Economics, Robust Optimization Tags , , ,

    Robust portfolio optimization finds the worst-case portfolio return given that the asset returns are realized within a prescribed uncertainty set. If the uncertainty set is not too large, the resulting portfolio performs well under normal market conditions. However, its performance may substantially degrade in the presence of market crashes, that is, if the asset returns … Read more

    An information-based approximation scheme for stochastic optimization problems in continuous time

  • Daniel Kuhn
    • Categories Infinite Dimensional Optimization, Stochastic Programming Tags , , , ,

    Dynamic stochastic optimization problems with a large (possibly infinite) number of decision stages and high-dimensional state vector are inherently difficult to solve. In fact, scenario tree based algorithms are unsuitable for problems with many stages, while dynamic programming type techniques are unsuitable for problems with many state variables. This article proposes a stage aggregation scheme … Read more