Joline Uichanco

Asymmetry and Ambiguity in Newsvendor Models

  • Karthik Natarajan
  • Melvyn Sim
  • Joline Uichanco
    • Categories Robust Optimization

    The traditional decision-making framework for newsvendor models is to assume a distribution of the underlying demand. However, the resulting optimal policy is typically sensitive to the choice of the distribution. A more conservative approach is to assume that the distribution belongs to a set parameterized by a few known moments. An ambiguity-averse newsvendor would choose … Read more

    Tractable Robust Expected Utility and Risk Models for Portfolio Optimization

  • Karthik Natarajan
  • Melvyn Sim
  • Joline Uichanco
    • Categories Finance and Economics, Robust Optimization, Second-Order Cone Programming

    Expected utility models in portfolio optimization is based on the assumption of complete knowledge of the distribution of random returns. In this paper, we relax this assumption to the knowledge of only the mean, covariance and support information. No additional assumption on the type of distribution such as normality is made. The investor’s utility is … Read more