Robust optimal decisions with imprecise forecasts

Computational Statistics and Data Analysis

Volumn 51, Issue 7, 2007, Pages 3595-3611

  Gülpinar, Nalan ^a   Rustem, Berc ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Minimax; Rival scenarios; Robust optimization

Indexed keywords

DECISION MAKING; INVESTMENTS; OPTIMAL SYSTEMS; OPTIMIZATION; RISK ASSESSMENT; ROBUSTNESS (CONTROL SYSTEMS);

OPTIMAL INVESTMENT; RISK ESTIMATIONS; RIVAL SCENARIOS; ROBUST OPTIMIZATION;

MANAGEMENT INFORMATION SYSTEMS;

EID: 33847388912     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.11.036     Document Type: Article

References (27)

1. Aoki M. Optimization of Stochastic Systems (1967), Academic Press, London, New York
2. Audrino F. The impact of general non-parametric volatility functions in multivariate GARCH models. Comput. Statist. Data Anal. 50 11 (2006) 3032-3052
3. Becker R., Dwolatzky B., Karakitsos E., and Rustem B. Simultaneous use of rival models in policy optimization. Econ. J. 96 (1986) 89-101
4. Becker R.G., Hall S., and Rustem B. Robust optimal decisions with stochastic nonlinear economic systems. J. Econom. Dyn. Control 18 (2000) 125-148
5. Ben-Tal A., and Nemirovski A. Robust truss topology design via semidefinite programming. SIAM J. Optim. 7 4 (1997) 991-1016
6. Breton M., and El Hachem S. Algorithms for the solution of stochastic dynamic minimax problems. Comput. Optim. Appl. 4 (1995) 317-345
7. Chow G.C. Effective use of econometric models in macroeconomics policy formulation. Optimal Control Econom. Models (1969) 31-39
8. Dert, C., Oldenkamp, B., 1997. Optimal guaranteed return portfolios and the casino effect. Research Report, Department DFS, Free University of Amsterdam.
9. Esteban-Bravo, M., Rustem, B., 2006. Worst-case modelling for management decisions in electricity markets with incomplete information. Research Paper, Imperial College, London.
10. Esteban-Bravo, M., Vidal-Sanz, J.M., 2007. Worst-case estimation for econometric models with unobservable components. Comput. Statist. Data Anal., in press.
11. Granger C., and Newbold P. Forecasting Economic Time Series (1977), Academic Press, New York
12. Gulpinar, N., Rustem, B., 2006. Worst-case optimal robust decisions for multi-period mean-variance portfolio optimization. Eur. J. Oper. Res., in press.
13. Gulpinar N., Rustem B., and Settergren R. Multistage stochastic mean-variance portfolio analysis with transaction cost. Innov. Financ. Econom. Networks 3 (2003) 46-63
14. Gulpinar N., Rustem B., and Settergren R. Optimization and simulation approaches to scenario tree generation. J. Econom. Dyn. Control 28 7 (2004) 1291-1315
15. Howe M.A., and Rustem B. A robust hedging algorithm. J. Econom. Dyn. Control 21 (1997) 1065-1092
16. Howe M.A., Rustem B., and Selby M. Minimax hedging strategy. Comput. Econom. 7 4 (1994) 245-275
17. Kall P., and Wallace S.W. Stochastic Programming (1994), Wiley, New York
18. Khan B.U., and Ahmed S.E. Comparisons of improved risk estimators of the multivariate mean vector. Comput. Statist. Data Anal. 50 2 (2006) 402-421
19. Lawrence M.J., Edmunson R.H., and O'Connor M.J. The accuracy of combining judgemental and statistical forecasts. Manag. Sci. 32 (1986) 1521-1532
20. Makridakis S., and Winkler R. Average of forecasts: some empirical results. Manag. Sci. 29 (1983) 987-996
21. Markowitz H. Portfolio selection. J. Finance 7 (1952) 77-91
22. Meszaros, C., 1997. BPMPD User's Manual Version 2.2. Department of Computing Research Report, Imperial College London.
23. Rustem B. Stochastic and robust control of nonlinear economic systems. Eur. J. Oper. Res. 73 (1994) 304-318
24. Rustem B., and Howe M. Algorithms for Worst-Case Design and Applications to Risk Management (2002), Princeton University Press, London, New Jersey
25. Rustem, B., Settergren, R., 2002. Scenario specification for robust portfolio analysis. In: Computational Methods in Decision Making, Economics and Finance: Optimization Models. Kluwer Academic Publishers, Dordrecht, Boston.
26. Rustem B., Becker R., and Marty W. Robust min-max portfolio strategies for rival forecast and risk scenarios. J. Econom. Dyn. Control 24 (2000) 1591-1623
27. Schmidt K. On the performance of minimax estimators in linear regression. Comput. Statist. Data Anal. 16 4 (1993) 455-468