Search Results - subject:"Robust Optimization"

A Robust Latent Factor Model for High-Dimensional Portfolio Selection

Shu, Lianjie; Shi, Fangquan; Gu, Xinhua - 2023

Portfolio selection is often faced with large noisy data sets of strongly correlated asset returns, and so is prone to unstable portfolio weights and serious estimation error. To attenuate these problems, this paper proposes a new latent factor model equipped with both a suitable robust...

Persistent link: https://www.econbiz.de/10014355471

Robust Risk-Aware Option Hedging

Wu, David; Jaimungal, Sebastian - 2023

The objectives of option hedging/trading extend beyond mere protection against downside risks, with a desire to seek gains also driving agent's strategies. In this study, we showcase the potential of robust risk-aware reinforcement learning (RL) in mitigating the risks associated with...

Persistent link: https://www.econbiz.de/10014355768

Robust Rolling PCA : Managing Time Series and Multiple Dimensions

Hirsa, Ali; Klinkert, Federico; Malhotra, Satyan; … - 2023

Principal Component Analysis (PCA) is an important methodology to reduce and extract meaningful signals from large data-sets. Financial markets introduce time and non stationarity aspects, where applying standard PCA methods may not give stable results. We propose robust rolling PCA (R2-PCA)...

Persistent link: https://www.econbiz.de/10014358309

Robust Bma Analysis with Gini Regressions : An Application to PISA Scores

Dimiski, Anastasia; Kourtellos, Andros; Stengos, Thanasis - 2023

We revisit the relationship between pre-primary education and achievement test scores in the primary school, by employing a Bayesian Model Averaging (BMA) approach combined with Gini regression estimates. The data are taken from the OECD Programme for International Student Assessment (PISA) for...

Persistent link: https://www.econbiz.de/10014358565

Robustness in Binary-Action Supermodular Games Revisited

Oyama, Daisuke; Takahashi, Satoru - 2023

We show that in all (whether generic or nongeneric) binary-action supermodular games, an extreme action profile is robust to incomplete information if and only if it is a monotone potential maximizer. The equivalence does not hold for nonextreme action profiles

Persistent link: https://www.econbiz.de/10014358587

Strict Robustness to Incomplete Information

Morris, Stephen; Oyama, Daisuke; Takahashi, Satoru - 2023

We study a strict version of the notion of equilibrium robustness by Kajii and Morris (1997) that allows for a larger class of incomplete information perturbations of a given complete information game, where with high probability, players believe that their payoffs are close to (but may be...

Persistent link: https://www.econbiz.de/10014358685

Improving the Security of United States Elections with Robust Optimization

Crimmins, Braden; Halderman, J. Alex; Sturt, Bradley - 2023

security guarantees. Specifically, our approach employs robust optimization to find test decks that are guaranteed to detect … this security guarantee, our robust optimization problem yields the test deck with the minimum number of ballots, thereby … exact algorithm for solving our robust optimization problems based on the cutting plane method. In partnership with the …

Persistent link: https://www.econbiz.de/10014359618

Randomized Robust Price Optimization

Guan, Xinyi; Mišić, Velibor - 2023

The robust multi-product pricing problem is to determine the prices of a collection of products so as to maximize the worst-case revenue, where the worst case is taken over an uncertainty set of demand models that the firm expects could be realized in practice. A tacit assumption in this...

Persistent link: https://www.econbiz.de/10014360224

Robust Job-Sequencing with an Uncertain Flexible Maintenance Activity

Nicosia, Gaia; Detti, Paolo; Pacifici, Andrea - 2023

In this study, the problem of scheduling a set of jobs and one uncertain maintenance activity on a single machine, with the objective of minimizing the makespan is addressed. The maintenance activity has a given duration and must be executed within a given time window. Furthermore, duration and...

Persistent link: https://www.econbiz.de/10014360625

Robustness Checks in Structural Analysis

Catherine, Sylvain; Ebrahimian, Mehran; Sraer, David … - 2023

Robustness checks, such as adding controls or sample splits, are a standard feature of reduced-form empirical research. Because of computational costs of reestimating alternative models, they are much less common in structural re- search using simulation-based methods. We propose a simple...

Persistent link: https://www.econbiz.de/10014236835