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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

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

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

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

7

Computing optimal multi-currency mean-variance portfolios

Journal:

Journal of Economic Dynamics and Control

Year:

1995

Language:

english

File:

PDF, 384 KB

english, 1995

8

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

9

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

10

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

11

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

12

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

13

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

14

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

15

The diagonalizability of quadratic functions and the arbitrariness of shadow prices

Journal:

Year:

1991

Language:

english

File:

PDF, 564 KB

english, 1991

16

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

17

Robust hedging strategies

Raquel J. Fonseca, Berç Rustem

Journal:

Computers & Operations Research

Year:

2012

Language:

english

File:

PDF, 260 KB

english, 2012

18

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

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

[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

21

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

22

Applied stochastic control and management science: A. Bensoussan, P. Kleindorfer and C. S. Tapiero, eds., (North-Holland Publishing Company, Amsterdam, 1980) pp. xv + 304, $53.75

Journal:

Journal of Economic Dynamics and Control

Year:

1982

Language:

english

File:

PDF, 115 KB

english, 1982

23

Foreword

Journal:

Journal of Economic Dynamics and Control

Year:

1986

Language:

english

File:

PDF, 50 KB

english, 1986

24

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

25

Stochastic and robust control of nonlinear economic systems

Journal:

European Journal of Operational Research

Year:

1994

Language:

english

File:

PDF, 945 KB

english, 1994

26

A mixed integer programming model for multistage mean–variance post-tax optimization

Maria A. Osorio, Nalan Gulpinar, Berc Rustem

Journal:

European Journal of Operational Research

Year:

2008

Language:

english

File:

PDF, 793 KB

english, 2008

27

Risky traveling salesman problem

Nikolaos Papadakos, George Tzallas-Regas, Berç Rustem, Joanne Thoms

Journal:

European Journal of Operational Research

Year:

2011

Language:

english

File:

PDF, 285 KB

english, 2011

28

Call for papers for an Automatica special issue on optimal control applications to management sciences

Journal:

Year:

2004

Language:

english

File:

PDF, 111 KB

english, 2004

29

Call for papers for an Automatica Special issue on stochastic modeling, control, and robust optimization at the crossroads of engineering, environmental economics, and finance

Berç Rüstem Editor

Journal:

Year:

2006

Language:

english

File:

PDF, 100 KB

english, 2006

30

Robust optimal decisions with imprecise forecasts

Nalan Gülpınar, Berc Rustem

Journal:

Computational Statistics & Data Analysis

Year:

2007

Language:

english

File:

PDF, 626 KB

english, 2007

31

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

32

Special issue on Mathematical Programming

Michael Ferris, Kenneth Judd, Berc Rustem

Journal:

Journal of Economic Dynamics and Control

Year:

2004

Language:

english

File:

PDF, 130 KB

english, 2004

33

Robust min–max portfolio strategies for rival forecast and risk scenarios

Berç Rustem, Robin G. Becker, Wolfgang Marty

Journal:

Journal of Economic Dynamics and Control

Year:

2000

Language:

english

File:

PDF, 480 KB

english, 2000

34

Parallel computing in economics, finance and decision-making

Erricos John Kontoghiorghes, Anna Nagurney, Berç Rustem

Journal:

Parallel Computing

Year:

2000

Language:

english

File:

PDF, 49 KB

english, 2000

35

Post-tax optimization with stochastic programming

Maria A. Osorio, Nalan Gülpınar, Berç Rustem, Reuben Settergren

Journal:

European Journal of Operational Research

Year:

2004

Language:

english

File:

PDF, 955 KB

english, 2004

36

A class of superlinearly convergent projection algorithms with relaxed stepsizes

Journal:

Applied Mathematics & Optimization

Year:

1984

Language:

english

File:

PDF, 827 KB

english, 1984

37

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

38

Book review

Journal:

Computational Management Science

Year:

2005

Language:

english

File:

PDF, 23 KB

english, 2005

39

Robust international portfolio management

Raquel J. Fonseca, Wolfram Wiesemann, Berç Rustem

Journal:

Computational Management Science

Year:

2012

Language:

english

File:

PDF, 356 KB

english, 2012

40

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

41

Mean-variance performance optimization of response time in a tandem router network with batch arrivals

Nalan Gülpınar, Uli Harder, Peter Harrison, Tony Field, Berç Rustem, Louis-Francois Pau

Journal:

Cluster Computing

Year:

2007

Language:

english

File:

PDF, 613 KB

english, 2007

42

Stochastic Optimization and Worst-Case Analysis in Monetary Policy Design

Stan Žaković, Volker Wieland, Berc Rustem

Journal:

Computational Economics

Year:

2007

Language:

english

File:

PDF, 214 KB

english, 2007

43

A Pricing Mechanism for Resource Management in Grid Computing

Panos Parpas, Berç Rustem

Journal:

Computational Economics

Year:

2008

Language:

english

File:

PDF, 221 KB

english, 2008

44

Linearly Constrained Global Optimization and Stochastic Differential Equations

Panos Parpas, Berç Rustem, Efstratios N. Pistikopoulos

Journal:

Journal of Global Optimization

Year:

2006

Language:

english

File:

PDF, 301 KB

english, 2006

45

Parametric global optimisation for bilevel programming

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

Journal:

Journal of Global Optimization

Year:

2007

Language:

english

File:

PDF, 244 KB

english, 2007

46

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

47

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

48

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

49

Global optimization and its applications

Stratos Pistikopoulos, Berç Rustem

Journal:

Journal of Global Optimization

Year:

2009

Language:

english

File:

PDF, 49 KB

english, 2009

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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