Robust portfolio planning in the presence of market anomalies

Robust conditional value–at–risk under parallelpipe uncertainty: an application to portfolio optimization Kara, Güray; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2016) In markets with high uncertainties, the trade–off between maximizing expected return and minimizing the risk is one of the main challenges in modeling and decision making. Since investors mostly shape their invested amounts towards certain assets and their risk version level according to their returns; scientists and practitioners has done studies on this subject since the beginning of the stock markets’ establishment. Developments and inventions in the mathematical optimization provide a wide range of solu...
Robust portfolio planning in the presence of market anomalies Oguzsoy, Cemal Berk; Güven, Sibel (Elsevier BV, 2007-02-01) In this study, a short-term portfolio modeling formulation is developed using existing anomalies as a single determinant for daily Istanbul Stock Exchange National 100 Composite Index (ISE) and US dollars (USD) returns in a Robust optimization (RO) framework. Using anomalies in planning within an RO framework establishes a balance between risk seeking and risk averse behaviors, as generating profit from anomalies is risky and RO enables to settle down the extreme risk seeking behavior. Applications of the m...
Robust Airline Scheduling with Controllable Cruise Times and Chance Constraints Duran, A. Serasu; Gürel, Sinan; Akturk, M. Selim (2015-01-02) Robust airline schedules can be considered as flight schedules that are likely to minimize passenger delay. Airlines usually add an additional time-e.g., schedule padding-to scheduled gate-to-gate flight times to make their schedules less susceptible to variability and disruptions. There is a critical trade-off between any kind of buffer time and daily aircraft productivity. Aircraft speed control is a practical alternative to inserting idle times into schedules. In this study, block times are considered in...
Robust parameter design of products and processes with an ordinal categorical response using random forests Gülbudak Dil, Seçil; Köksal, Gülser; Department of Industrial Engineering (2018) In industrial organizations, manufacturers aim to achieve target product performance with minimum variation. For that reason, finding optimal settings of product and process design parameters that make it possible to consistently achieve target product performance is an important design problem. In this study, we propose an alternative method to solve this problem for the case of an ordinal categorical product/process response. The method utilizes Random Forest (RF) for modelling mean and variance of the re...
Robust optimization in spline regression models for multi-model regulatory networks under polyhedral uncertainty Ozmen, Ayse; Kropat, Erik; Weber, Gerhard Wilhelm (2017-01-01) In our study, we integrate the data uncertainty of real-world models into our regulatory systems and robustify them. We newly introduce and analyse robust time-discrete target-environment regulatory systems under polyhedral uncertainty through robust optimization. Robust optimization has reached a great importance as a modelling framework for immunizing against parametric uncertainties and the integration of uncertain data is of considerable importance for the model's reliability of a highly interconnected ...

Citation Formats

C. B. Oğuzsoy, “Robust portfolio planning in the presence of market anomalies,” Ph.D. - Doctoral Program, Middle East Technical University, 2003.