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)
In this paper we consider an M/G/1 queue-based analytical model. The end-to-end performance of a tandem wireless router network with batch arrivals is optimized. The mean of the transmission delay (or 'response time') is minimized subject to an upper limit on the rate of losses and finite capacity queueing and recovery buffers. The optimal ratio of(More)
Architectural designs for routers and networks of routers to support mobile communication are analysed for their end-to-end performance using a simple Markov model. In view of the diverse design options, such models have many adjustable parameters and choosing the best set for a particular performance objective is a delicate and time-consuming task. We(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)