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1

Maximizing the net present value of a project under uncertainty

Wolfram Wiesemann, Daniel Kuhn, Berç Rustem

Journal:

European Journal of Operational Research

Year:

2010

Language:

english

File:

PDF, 578 KB

english, 2010

2

Worst-case robust decisions for multi-period mean–variance portfolio optimization

Nalan Gülpınar, Berç Rustem

Journal:

European Journal of Operational Research

Year:

2007

Language:

english

File:

PDF, 1.23 MB

english, 2007

3

Robust portfolio optimization with copulas

Kakouris, Iakovos, Rustem, Berç

Journal:

European Journal of Operational Research

Year:

2014

Language:

english

File:

PDF, 650 KB

english, 2014

4

Optimization over Time: Dynamic Programming and Stochastic Control. Vols I and IIby Peter Whittle

Review by: Berc Rustem

Journal:

Year:

1985

Language:

english

File:

PDF, 184 KB

english, 1985

5

Robust Capacity Planning Under Uncertainty

Paraskevopoulos, Dimitris, Karakitsos, Elias, Rustem, Berc

Journal:

Management Science

Year:

1991

Language:

english

File:

PDF, 1.01 MB

english, 1991

6

Simulation and optimization approaches to scenario tree generation

Nalan Gülpınar, Berç Rustem, Reuben Settergren

Journal:

Journal of Economic Dynamics and Control

Year:

2004

Language:

english

File:

PDF, 433 KB

english, 2004

7

Multi-resource allocation in stochastic project scheduling

Wolfram Wiesemann, Daniel Kuhn, Berç Rustem

Journal:

Annals of Operations Research

Year:

2012

Language:

english

File:

PDF, 1.25 MB

english, 2012

8

Computational Methods in Financial Engineering || Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Matrix

Kontoghiorghes, Erricos J., Rustem, Berç, Winker, Peter

Year:

2008

Language:

english

File:

PDF, 408 KB

english, 2008

9

Computing optimal multi-currency mean-variance portfolios

Journal:

Journal of Economic Dynamics and Control

Year:

1995

Language:

english

File:

PDF, 384 KB

english, 1995

10

Worst-Case Value at Risk of Nonlinear Portfolios

Zymler, Steve, Kuhn, Daniel, Rustem, Berç

Journal:

Management Science

Year:

2013

Language:

english

File:

PDF, 323 KB

english, 2013

11

Distributionally robust joint chance constraints with second-order moment information

Steve Zymler, Daniel Kuhn, Berç Rustem

Journal:

Mathematical Programming

Year:

2013

Language:

english

File:

PDF, 416 KB

english, 2013

12

The diagonalizability of quadratic functions and the arbitrariness of shadow prices

Journal:

Year:

1991

Language:

english

File:

PDF, 564 KB

english, 1991

13

Robust Capacity Planning under Uncertainty

Dimitris Paraskevopoulos, Elias Karakitsos and Berc Rustem

Journal:

Management Science

Year:

1991

Language:

english

File:

PDF, 1.72 MB

english, 1991

14

An Algorithm for the Inequality-Constrained Discrete Min--Max Problem

Rustem, Berc, Nguyen, Quoc

Journal:

SIAM Journal on Optimization

Year:

1998

Language:

english

File:

PDF, 336 KB

english, 1998

15

Robust portfolio optimization with derivative insurance guarantees

Steve Zymler, Berç Rustem, Daniel Kuhn

Journal:

European Journal of Operational Research

Year:

2011

Language:

english

File:

PDF, 470 KB

english, 2011

16

[Applied Optimization] Computational Methods in Decision-Making, Economics and Finance Volume 74 || A Multistage Stochastic Optimization Model for the Cash Management Problem

Kontoghiorghes, Erricos John, Rustem, Berc, Siokos, Stavros

Year:

2002

Language:

english

File:

PDF, 2.53 MB

english, 2002

17

Rationality, computability, and complexity

Berc Rustem, Kumaraswamy Velupillai

Journal:

Journal of Economic Dynamics and Control

Year:

1990

Language:

english

File:

PDF, 824 KB

english, 1990

18

A smoothing algorithm for finite min–max–min problems

Angelos Tsoukalas, Panos Parpas, Berç Rustem

Journal:

Optimization Letters

Year:

2009

Language:

english

File:

PDF, 207 KB

english, 2009

19

Worst-case robust Omega ratio

Kapsos, Michalis, Christofides, Nicos, Rustem, Berç

Journal:

European Journal of Operational Research

Year:

2014

Language:

english

File:

PDF, 1.41 MB

english, 2014

20

A constraint sampling approach for multi-stage robust optimization

Phebe Vayanos, Daniel Kuhn, Berç Rustem

Journal:

Year:

2012

Language:

english

File:

PDF, 659 KB

english, 2012

21

Robust hedging strategies

Raquel J. Fonseca, Berç Rustem

Journal:

Computers & Operations Research

Year:

2012

Language:

english

File:

PDF, 260 KB

english, 2012

22

A multi-parametric programming approach for multilevel hierarchical and decentralised optimisation problems

Nuno P. Faísca, Pedro M. Saraiva, Berç Rustem, Efstratios N. Pistikopoulos

Journal:

Computational Management Science

Year:

2009

Language:

english

File:

PDF, 417 KB

english, 2009

23

Foreword

Journal:

Journal of Economic Dynamics and Control

Year:

1986

Language:

english

File:

PDF, 50 KB

english, 1986

24

[IEEE 2010 49th IEEE Conference on Decision and Control (CDC) - Atlanta, GA, USA (2010.12.15-2010.12.17)] 49th IEEE Conference on Decision and Control (CDC) - A cutting-plane method for Mixed-Logical Semidefinite Programs with an application to multi-vehicle robust path planning

Kong, Fook Wai, Kuhn, Daniel, Rustem, Berc

Year:

2010

Language:

english

File:

PDF, 351 KB

english, 2010

25

Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems

Parpas, Panos, Rustem, Berç

Journal:

INFORMS Journal on Computing

Year:

2007

Language:

english

File:

PDF, 146 KB

english, 2007

26

An outer approximation based branch and cut algorithm for convex 0-1 MINLP problems

Akrotirianakis, Ioannis, Maros, Istvan, Rustem, Berc

Journal:

Optimization Methods and Software

Year:

2001

Language:

english

File:

PDF, 1.05 MB

english, 2001

27

A constrained min-max algorithm for rival models

Journal:

Journal of Economic Dynamics and Control

Year:

1988

Language:

english

File:

PDF, 345 KB

english, 1988

28

Stochastic and robust control of nonlinear economic systems

Journal:

European Journal of Operational Research

Year:

1994

Language:

english

File:

PDF, 945 KB

english, 1994

29

Interactive decision making: Equivalence of modified formulations

Journal:

Annals of Operations Research

Year:

1994

Language:

english

File:

PDF, 692 KB

english, 1994

30

[Springer Optimization and Its Applications] Performance Models and Risk Management in Communications Systems Volume 46 || Of Threats and Costs: A Game-Theoretic Approach to Security Risk Management

Gülpınar, Nalân, Harrison, Peter, Rüstem, Berç

Year:

2011

Language:

english

File:

PDF, 334 KB

english, 2011

31

[Lecture Notes in Control and Information Sciences] Projection Methods in Constrained Optimisation and Applications to Optimal Policy Decisions Volume 31 || Nonlinearly constrained optimisation techniques based on projections

Year:

1981

Language:

english

File:

PDF, 1.05 MB

english, 1981

32

The work of David Kendrick

Hans M. Amman, Berç Rustem

Journal:

Journal of Economic Dynamics and Control

Year:

2002

Language:

english

File:

PDF, 69 KB

english, 2002

33

Convergence analysis of a global optimization algorithm using stochastic differential equations

Panos Parpas, Berç Rustem

Journal:

Journal of Global Optimization

Year:

2009

Language:

english

File:

PDF, 210 KB

english, 2009

34

Algorithms for Worst-Case Design and Applications to Risk Management () || Chapter 1. Introduction to Minimax

Rustem, Berç, Howe, Melendres

Year:

2009

Language:

english

File:

PDF, 174 KB

english, 2009

35

[Lecture Notes in Control and Information Sciences] Projection Methods in Constrained Optimisation and Applications to Optimal Policy Decisions Volume 31 || An algorithm for positive definite quadratic programming

Year:

1981

Language:

english

File:

PDF, 1.30 MB

english, 1981

36

A constrained min‐max algorithm for rival models of the same economic system

Journal:

Mathematical Programming

Year:

1992

Language:

english

File:

PDF, 1.03 MB

english, 1992

37

Algorithms for Worst-Case Design and Applications to Risk Management () || Chapter 6 Minimax As A Robust Strategy For Discrete Rival Scenarios

Rustem, Berç, Howe, Melendres

Year:

2009

Language:

english

File:

PDF, 172 KB

english, 2009

38

[Lecture Notes in Control and Information Sciences] Projection Methods in Constrained Optimisation and Applications to Optimal Policy Decisions Volume 31 || Optimisation with linear and nonlinear constraints

Year:

1981

Language:

english

File:

PDF, 1.95 MB

english, 1981

39

[Lecture Notes in Control and Information Sciences] Projection Methods in Constrained Optimisation and Applications to Optimal Policy Decisions Volume 31 || Projection methods for computing feasible points of linearly constrained regions

Year:

1981

Language:

english

File:

PDF, 796 KB

english, 1981

40

Algorithms for solving nonlinear dynamic decision models

Robin Becker, Berc Rustem

Journal:

Annals of Operations Research

Year:

1993

Language:

english

File:

PDF, 1.61 MB

english, 1993

41

[IEEE 1986 25th IEEE Conference on Decision and Control - Athens, Greece (1986.12.10-1986.12.12)] 1986 25th IEEE Conference on Decision and Control - A Newton-type min-max algorithm for rival models of the same system

Year:

1986

Language:

english

File:

PDF, 353 KB

english, 1986

42

Algorithms for Worst-Case Design and Applications to Risk Management () || Chapter 7 Discrete Minimax Algorithm For Equality And Inequality Constrained Models

Rustem, Berç, Howe, Melendres

Year:

2009

Language:

english

File:

PDF, 290 KB

english, 2009

43

Global optimization of robust chance constrained problems

Panos Parpas, Berç Rustem, Efstratios N. Pistikopoulos

Journal:

Journal of Global Optimization

Year:

2009

Language:

english

File:

PDF, 293 KB

english, 2009

44

A global optimization algorithm for generalized semi-infinite, continuous minimax with coupled constraints and bi-level problems

Angelos Tsoukalas, Berç Rustem, Efstratios N. Pistikopoulos

Journal:

Journal of Global Optimization

Year:

2009

Language:

english

File:

PDF, 176 KB

english, 2009

45

Algorithms for Worst-Case Design and Applications to Risk Management () || Chapter 8. A Continuous Minimax Strategy For Options Hedging

Rustem, Berç, Howe, Melendres

Year:

2009

Language:

english

File:

PDF, 378 KB

english, 2009

46

Guest Editorial

Parpas, Panos, Rustem, Berc, Wiesemann, Wolfram

Journal:

Optimization Methods and Software

Year:

2017

Language:

english

File:

PDF, 383 KB

english, 2017

47

Computational Methods in Financial Engineering || Risk Preferences and Loss Aversion in Portfolio Optimization

Kontoghiorghes, Erricos J., Rustem, Berç, Winker, Peter

Year:

2008

Language:

english

File:

PDF, 427 KB

english, 2008

48

Algorithms for Worst-Case Design and Applications to Risk Management () || Chapter 2. A Survey Of Continuous Minimax Algorithms

Rustem, Berç, Howe, Melendres

Year:

2009

Language:

english

File:

PDF, 148 KB

english, 2009

49

A general framework for multistage mean-variance post-tax optimization

Maria A. Osorio, Nalan Gülpınar, Berç Rustem

Journal:

Annals of Operations Research

Year:

2008

Language:

english

File:

PDF, 900 KB

english, 2008

50

Partitioning procedure for polynomial optimization

Polyxeni-Margarita Kleniati, Panos Parpas, Berç Rustem

Journal:

Journal of Global Optimization

Year:

2010

Language:

english

File:

PDF, 333 KB

english, 2010

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