In a real situation, optimization problems often involve uncertain parameters. Robust optimization is one of distribution-free methodologies based on worst-case analyses for handling such problems. In this paper, we first focus on a special class of uncertain linear programs (LPs). Applying the...

While dynamic decision making has traditionally been represented as scenario trees, these may become severely intractable and difficult to compute with an increasing number of time periods. We present an alternative tractable approach to multiperiod international portfolio optimization based on...

Pareto efficiency for robust linear programs was introduced by Iancu and Trichakis in [Manage Sci 60(1):130–147, 9 ]. We generalize their approach and theoretical results to robust optimization problems in Euclidean spaces with affine uncertainty. Additionally, we demonstrate the value of this...