In this paper, we consider the mean-variance hedging problem of contingent claims in a financial market model composed of assets with uncertain price parameters. We consider the worst case of model parameters required to solve the minimax problem. In general, such minimax problems cannot be...

This paper provides a methodology to build offering curves for a concentrating solar power plant. This methodology takes into account the uncertainty in the thermal production from the solar field and the volatility of market prices. The solar plant owner is a price-taker producer that...

In typical robust portfolio selection problems, one mainly finds portfolios with the worst-case return under a given uncertainty set, in which asset returns can be realized. A too large uncertainty set will lead to a too conservative robust portfolio. However, if the given uncertainty set is not...