Multi-Objective Probabilistically Constrained Programming with Variable Risk: New Models and Applications
dc.contributor.author | Lejeune, Miguel A. | |
dc.contributor.author | Shen, Siqian | |
dc.contributor.editor | Higle, Julie L. | |
dc.contributor.editor | Römisch, Werner | |
dc.contributor.editor | Sen, Surrajeet | |
dc.date.accessioned | 2017-06-16T20:31:04Z | |
dc.date.available | 2017-06-16T20:31:04Z | |
dc.date.created | 2014-04-07 | |
dc.date.issued | 2014-04-04 | |
dc.date.submitted | 2014-01-20 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/9091 | |
dc.description.abstract | We consider a class of multi-objective probabilistically constrained problems MOPCP with a joint chance constraint, a multi-row random technology matrix, and a risk parameter (i.e., the reliability level) defined as a decision variable. We propose a Boolean modeling framework and derive a series of new equivalent mixed-integer programming formulations. We demonstrate the computational efficiency of the formulations that contain a small number of binary variables. We provide modeling insights pertaining to the most suitable reformulation, to the trade-off between the conflicting cost/revenue and reliability objectives, and to the scalarization parameter determining the relative importance of the objectives. Finally, we propose several MOPCP variants of multi-portfolio financial optimization models that implement a downside risk measure and can be used in a centralized or decentralized investment context. We study the impact of the model parameters on the portfolios, show, via a cross-validation study, the robustness of the proposed models, and perform a comparative analysis of the optimal investment decisions. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | risk management | eng |
dc.subject | Boolean programming | eng |
dc.subject | chance-constrained programming | eng |
dc.subject | variable reliability | eng |
dc.subject | multi-portfolio optimization | eng |
dc.subject.ddc | 510 Mathematik | |
dc.title | Multi-Objective Probabilistically Constrained Programming with Variable Risk: New Models and Applications | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-100216371 | |
dc.identifier.doi | http://dx.doi.org/10.18452/8439 | |
local.edoc.pages | 30 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
dc.identifier.zdb | 2936317-2 | |
bua.series.name | Stochastic Programming E-Print Series | |
bua.series.issuenumber | 2014,1 |