Melvyn Sim

Constructing Risk Measures from Uncertainty Sets

  • Karthik Natarajan
  • Dessislava Pachamanova
  • Melvyn Sim
    • Categories Finance and Economics, Robust Optimization Tags ,

    We propose a unified theory that links uncertainty sets in robust optimization to risk measures in portfolio optimization. We illustrate the correspondence between uncertainty sets and some popular risk measures in finance, and show how robust optimization can be used to generalize the concepts of these measures. We also show that by using properly defined … Read more

    A Robust Optimization Perspective of Stochastic Programming

  • Xin Chen
  • Peng Sun
  • Melvyn Sim
    • Categories Robust Optimization, Stochastic Programming Tags , ,

    In this paper, we introduce an approach for constructing uncertainty sets for robust optimization using new deviation measures for bounded random variables known as the forward and backward deviations. These deviation measures capture distributional asymmetry and lead to better approximations of chance constraints. We also propose a tractable robust optimization approach for obtaining robust solutions … Read more