Rustem Ber

Ber Rustem

Information about the author Ber Rustem will soon be added to the site.
Found 16 papers in total
Worst‐Case Value at Risk of Nonlinear Portfolios
Worst‐Case Value at Risk of Nonlinear Portfolios
2013
Portfolio optimization problems involving value at risk (VaR) are often...
Computation of Correlated Equilibrium with Global‐Optimal Expected Social Welfare
Computation of Correlated Equilibrium with Global‐Optimal Expected Social Welfare
2012
In this paper, we propose an algorithm which computes the correlated equilibrium with...
Switching Stepsize Strategies for Sequential Quadratic Programming
Switching Stepsize Strategies for Sequential Quadratic Programming
2011
A Sequential Quadratic Programming (in short, SQP) algorithm is presented for solving...
Robust international portfolio management
Robust international portfolio management
2012
We present an international portfolio optimization model where we take into account...
Multi‐resource allocation in stochastic project scheduling
Multi‐resource allocation in stochastic project scheduling
2012
We propose a resource allocation model for project scheduling. Our model accommodates...
A feasible point adaptation of the Blankenship and Falk algorithm for semi‐infinite programming
A feasible point adaptation of the Blankenship and Falk algorithm for semi‐infinite programming
2011
Discretization methods for semi‐infinite programming do not provide a feasible...
Risky traveling salesman problem
Risky traveling salesman problem
2011
In this paper we introduce a methodology for optimizing the expected cost of routing a...
A multi-parametric programming approach for multilevel hierarchical and decentralised optimisation problems
A multi-parametric programming approach for multilevel hierarchical and decentralised optimisation problems
2009
In this paper, we outline the foundations of a general global optimisation strategy...
Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems
Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems
2007
We consider decomposition approaches for the solution of multistage stochastic...
A multi-parametric programming approach for constrained dynamic programming problems
A multi-parametric programming approach for constrained dynamic programming problems
2008
In this work, we present a new algorithm for solving complex multi-stage optimization...
Convergence of an interior point algorithm for continuous minimax
Convergence of an interior point algorithm for continuous minimax
2008
We propose an algorithm for the constrained continuous minimax problem. The algorithm...
A general framework for multistage mean–variance post-tax optimization
A general framework for multistage mean–variance post-tax optimization
2008
An investor's decisions affect the way taxes are paid in a general portfolio...
Parametric global optimisation for bilevel programming
Parametric global optimisation for bilevel programming
2007
We propose a global optimisation approach for the solution of various classes of...
Post-tax optimization with stochastic programming
Post-tax optimization with stochastic programming
2004
In this paper, we consider a stochastic programming approach to multistage post-tax...
Stochastic and robust control of nonlinear economic systems
Stochastic and robust control of nonlinear economic systems
1994
This paper uses a robust policy concept that is an extension to nonlinear systems of...
Interactive decision making: Equivalence of modified formulations
Interactive decision making: Equivalence of modified formulations
1994
The paper discusses the use of a quadratic norm for departures from the bliss value of...
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