Multi-period Robust Mean-Risk Portfolio Optimization: Minimizing Risk and Enhancing Returns in Uncertain Market Environments

Portfolio optimization, a fundamental area of study in financial engineering,<br/>plays a crucial role in creating efficient portfolios. In this thesis, we consider<br/>a robust multi-period Mean-Variance portfolio optimization framework and<br/>apply it to real-world market data. The approach we look at incorporates a<br/>time-consistent...

Optimal here and now decisions of multi stage robust optimisation: Optimale hier en nu beslissingen in multi stadia robuuste optimalisatie

Robust optimisation is shown to be extremely important in a wide range of applications including real life. Many research projects are dedicated to this relatively young and active research field and show the significant value of robust optimisation. Since many researchers have developed complex methods dedicated to robust optimisation, the aim...

Conceptual Robust Design of Turbomachinery Operating with Non-Conventional Fluids

Over the years, applications for the turbomachinery usage and the operating range during its lifetime have widened. The single operating point optimized design leads to a problematic phenomenon called ‘local optimization’ which means that the design has a very narrow range of better performance around that point and deteriorates significantly at...

Redefining Integrated Assessment Models: An Exploratory Approach Towards Robust Climate-Economic Policies

Integrated Assessment Models (IAMs) are aiming to shed light on the cost-benefit of climate mitigations. However, current IAMs are depicted with a wide range of weaknesses. Next, to questionable assumptions of model functions, such as the damage function, IAMs are inadequate at addressing deeply uncertain parameters, such as the equilibrium...

Robuust optimaliseren toegepast op een elektriciteitsnetwerk model (Robust Optimisation applied to the Optimal Power Flow model)

Robuust Optimaliseren is een techniek om bij optimalisatie om te gaan met onzekerheid in de parameters. Een robuust toegelaten oplossing moet aan alle voorwaarden van het model voldoen, ongeacht de realisatie van de onzekere parameters. We passen deze techniek toe op een veelgebruikt model voor een elektriciteitsnetwerk, namelijk het DC Optimal...