Nalan Gülpinar

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In this paper, we extend the multi-period mean–variance optimization framework to worst-case design with multiple rival return and risk scenarios. Our approach involves a min–max algorithm and a multi-period mean–variance optimization framework for the stochastic aspects of the scenario tree. Multi-period portfolio optimization entails the construction of a(More)
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)
An optimization methodology is developed for a tandem router network with batch arrivals. The end-to-end performance, computed as the mean transmission delay in a simple analytical model, is minimized subject to an upper limit on the rate of losses and finite capacity queueing and recovery buffers. The optimal ratio of arrival-buffer size to recovery-buffer(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)
In this paper, we consider a stochastic programming approach to multi-stage posttax portfolio optimization. Asset performance information is speci ed as a scenario tree generated by two alternative methods based on simulation and optimization. We assume three tax wrappers involving the same instruments for an eÆcient investment strategy and determine(More)