#### Filter Results:

- Full text PDF available (5)

#### Publication Year

2003

2016

- This year (0)
- Last 5 years (4)
- Last 10 years (6)

#### Publication Type

#### Co-author

#### Journals and Conferences

#### Key Phrases

Learn More

- Alireza Ghaffari Hadigheh, Oleksandr Romanko, Tamás Terlaky
- Algorithmic Operations Research
- 2007

In this paper we study the behavior of Convex Quadratic Optimization problems when variation occurs simultaneously in the right-hand side vector of the constraints and in the coefficient vector of the linear term in the objective function. It is proven that the optimal value function is piecewise-quadratic. The concepts of transition point and invariancy… (More)

This paper evaluates several alternative formulations for minimizing the credit risk of a portfolio of financial contracts with different counterparties. Credit risk optimization is challenging because the portfolio loss distribution is typically unavailable in closed form. This makes it difficult to accurately compute Value-at-Risk (VaR) and expected… (More)

In this paper we study the behavior of Convex Quadratic Optimization problems when variation occurs simultaneously in the right-hand side vector of the constraints and in the coefficient vector of the linear term in the objective function. It is proven that the optimal value function is piecewise-quadratic. The concepts of transition point and invariancy… (More)

- Alireza Ghaffari Hadigheh, Oleksandr Romanko, Tamás Terlaky
- Optimization Methods and Software
- 2010

In this paper we consider the Convex Quadratic Optimization problem with simultaneous perturbation in the right-hand-side of the constraints and the linear term of the objective function with different parameters. The regions with invariant optimal partitions are investigated as well as the behavior of the optimal value function on the regions. We show that… (More)

- Helmut Mausser, Oleksandr Romanko
- IBM Journal of Research and Development
- 2014

For institutional investors, optimizing the trade-off between risk and reward poses significant modeling and computational challenges. Notably, small errors in the estimated returns of financial assets can lead to optimized portfolios that incur far too much risk for the returns they actually deliver. Given these adverse effects, portfolio construction… (More)

- Oleksandr Romanko, Helmut Mausser
- Annals OR
- 2016

- Oleksandr Romanko, Alex Kreinin, Helmut Mausser
- CASCON
- 2015

- ‹
- 1
- ›