Uncertainty modelling

Worst-Case Conditional Value at Risk for Asset Liability Management: A Novel Framework for General Loss Functions

  • Alireza Ghahtarani
  • Ahmed Saif
  • Alireza Ghasemi
    • Categories Applications - OR and Management Sciences, Finance and Economics, Robust Optimization Tags , , , ,

    Asset-liability management (ALM) is a challenging task faced by pension funds due to the uncertain nature of future asset returns and interest rates. To address this challenge, this paper presents a new mathematical model that uses aWorst-case Conditional Value-at-Risk (WCVaR) constraint to ensure that the funding ratio remains above a regulator-mandated threshold with a high … Read more

    Shortest Path Network Interdiction with Asymmetric Uncertainty

  • She'ifa Punla-Green
  • John E. Mitchell
  • Jared Gearhart
  • William E. Hart
  • Cynthia A. Phillips
    • Categories Nonlinear Optimization Tags , , , ,

    This paper considers an extension of the shortest path network interdiction problem that incorporates robustness to account for parameter uncertainty. The shortest path interdiction problem is a game of two players with conflicting agendas and capabilities: an evader, who traverses the arcs of a network from a source node to a sink node using the … Read more