Oleksandr Romanko

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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)
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)
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)
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