Solutions of portfolio optimization problems are often influenced by errors or misspecifications due to approximation, estimation and incomplete information. Selected methods for analysis of results obtained by solving stochastic programs are presented and their scope illustrated on generic...

Solutions of portfolio optimization problems are often influenced by a model misspecification or by errors due to approximation, estimation and incomplete information. The obtained results, recommendations for the risk and portfolio manager, should be then carefully analyzed. We shall deal with...

Solutions of portfolio optimization problems are often influenced by errors or misspecifications due to approximation, estimation and incomplete information. Selected methods for analysis of results obtained by solving stochastic programs are presented and their scope illustrated on generic...

<p><span style="font-size: 11.000000pt; font-family: 'CMR10';">For various reasons, the underlying probability measure in stochastic pro- gramming models must be frequently substituted by a suitable approximation. This in turn requires to investigate stability of solutions of these models with respect to the prob- ability measure. This paper is devoted to a...</span></p>

<p><span style="font-size: 11.000000pt; font-family: 'CMR10';">We shall survey and classify various ways of approximation of the true probability distribution by a discrete distribution concentrated in a finite number of atoms, called scenarios, which occur with preassigned probabilities. Resistance of the numerical results with respect to the choice of...</span></p>