In this paper, we introduce a mixed integer stochastic programming approach to mean-variance post-tax portfolio management. This approach takes into account of risk in a multistage setting and allows general withdrawals from original capital. The uncertainty on asset returns is specified as a...

A robust minimax approach for optimal investment decisions with imprecise return forecasts and risk estimations in financial portfolio management is considered. Single-period and multi-period mean-variance optimization models are extended to worst-case design with multiple rival risk estimations...

In this paper we compare expected loss minimization to worst-case or minimax analysis in the design of simple Taylor-style rules for monetary policy using a small model estimated for the euro area by Orphanides and Wieland (2000). We find that rules optimized under a minimax objective in the...