Xiaobo Li – Optimization Online

A Unified Analysis for Assortment Planning with Marginal Distributions

Published: 2020/07/02, Updated: 2023/10/15

Applications - OR and Management Sciences approximation algorithm, approximation ratio, assortment optimization, discrete choice models, marginal distribution model, multiple discrete-continuous extreme value model

In this paper, we study assortment planning under the marginal distribution model (MDM), a semiparametric choice model that only requires information about the marginal noise in the utilities of alternatives and does not assume independence of the noise terms. It is already known in the literature that the multinomial logit (MNL) model belongs to the … Read more

Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals

Published: 2013/05/13

Xuan Vinh Doan

Karthik Natarajan

Xiaobo Li

Finance and Economics, Robust Optimization data-driven, frechet bounds, robust portfolio selection, running intersection property

In this paper, we develop a distributionally robust portfolio optimization model where the robustness is to different dependency structures among the random losses. For a Frechet class of distributions with overlapping marginals, we show that the distributionally robust portfolio optimization problem is efficiently solvable with linear programming. To guarantee the existence of a joint multivariate … Read more