Robust portfolio planning in the presence of market anomalies

Oğuzsoy, Cemal Berk


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...
Optimal operation policies for multi-item vending machines with product dedicated variant towers
Şahin, Hacı; Duran, Serhan; Department of Industrial Engineering (2019)
In this thesis we focus on modelling and solving the operation policy problem of a seller by managing its vending machines at different locations. Each vending machine has sale unit towers, which can hold different items; therefore, the decisions of which items should be kept at which location and with how many sale towers become important. Due to the uncertainties faced in demand, solution of the problem determines the allocation of towers to the items and machines throughout a time horizon. Stochastic opt...
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 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.