Montag, 23. Mai 2016, 16:45 - 18:15 iCal

ISOR Colloquium

"Robustness in stochastic programs with decision dependent randomness"

Speaker: Milos Kopa (Charles University Prague)

Lecture Hall 12 OMP1 (2nd Floor)
Oskar-Morgenstern-Platz 1, 1090 Vienna


Solutions of portfolio selection problems are often influenced by the model misspecification and simplifications, or by errors due to approximations, estimations, and incomplete information. The obtained optimal investment strategies, recommendations for the risk and portfolio manager, should be then carefully analyzed. We shall deal with output analysis, robustness, and stress testing with respect to uncertainty or perturbations of input data for risk constrained portfolio optimization problems via the contamination technique and the worst-case analysis. We focus on problems with decision dependent random returns. Applying the contamination techniques we present lower and upper bonds for optimal value function for several different decision dependent randomness problems.

Zur Webseite der Veranstaltung


Institut für Statistik und Operations Research


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651