We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for these models. We construct equivalent optimization models with utility functions. Numerical illustration … Read more
This paper considers robust optimization to cope with uncertainty about the stock return process in one period portfolio selection problems involving options. The ro- bust approach relates portfolio choice to uncertainty, making more cautious portfolios when uncertainty is high. We represent uncertainty by a set of plausible expected returns of the underlyings and show that … Read more
The inclusion of transaction costs is an essential element of any realistic portfolio optimization. In this paper, we consider an extension of the standard portfolio problem in which transaction costs are incurred to rebalance an investment portfolio. The Markowitz framework of mean-variance efficiency is used with costs modelled as a percentage of the value transacted. … Read more
The deregulation of the European power market brings new sales prospects for the power-suppliers as well as an appreciable increase of entrepreneurial risks. In order to handle the novel price- and volume-risks the optimisation of decisionmaking under uncertain boundary conditions is of essential interest. The former task of resource management in energy-supply was the minimisation … Read more