Nalan Gülpinar

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Financial decision making involves uncertainty and consequently risk. It is well known that asset return forecasts and risk estimates are inherently inaccurate. The inaccuracy in forecasting and estimation can be addressed through the specification of rival scenarios. In this paper, we extend the multi-period mean-variance portfolio optimization and asset(More)
This paper presents an asset liability management model based on robust optimization techniques. The model explicitly takes into consideration the time-varying aspect of investment opportunities. The emphasis of the proposed approach is on computational tractability and practical appeal. Computational studies with real market data study the performance of(More)