29 citations · 96 across the 15 of their papers we have counts for
16 papers
VOPy: A Framework for Black-box Vector Optimization
Yaşar Cahit Yıldırım, Efe Mert Karagözlü, İlter Onat Korkmaz +2
We introduce VOPy, an open-source Python library designed to address black-box vector optimization, where multiple objectives must be optimized simultaneously with respect to a par…
Vector Optimization with Gaussian Process Bandits
İlter Onat Korkmaz, Yaşar Cahit Yıldırım, Çağın Ararat +1
We study black-box vector optimization with Gaussian process bandits, where there is an incomplete order relation on objective vectors described by a polyhedral convex cone. Existi…
Convergence analysis of a norm minimization-based convex vector optimization algorithm
Çağın Ararat, Firdevs Ulus, Muhammad Umer
In this work, we propose an outer approximation algorithm for solving bounded convex vector optimization problems (CVOPs). The scalarization model solved iteratively within the alg…
Vector Optimization with Stochastic Bandit Feedback
Çağın Ararat, Cem Tekin
We introduce vector optimization problems with stochastic bandit feedback, in which preferences among designs are encoded by a polyhedral ordering cone . Our setup generalizes t…
MAD Risk Parity Portfolios
Çağın Ararat, Francesco Cesarone, Mustafa Çelebi Pınar +1
In this paper, we investigate the features and the performance of the Risk Parity (RP) portfolios using the Mean Absolute Deviation (MAD) as a risk measure. The RP model is a recen…
Geometric duality results and approximation algorithms for convex vector optimization problems
Çağın Ararat, Simay Tekgül, Firdevs Ulus
We study geometric duality for convex vector optimization problems. For a primal problem with a -dimensional objective space, we formulate a dual problem with a -dimensio…
A norm minimization-based convex vector optimization algorithm
Çağın Ararat, Firdevs Ulus, Muhammad Umer
We propose an algorithm to generate inner and outer polyhedral approximations to the upper image of a bounded convex vector optimization problem. It is an outer approximation algor…
Portfolio optimization with two quasiconvex risk measures
Çağın Ararat
We study a static portfolio optimization problem with two risk measures: a principle risk measure in the objective function and a secondary risk measure whose value is controlled i…
Set-Valued Backward Stochastic Differential Equations
Çağın Ararat, Jin Ma, Wenqian Wu
In this paper, we establish an analytic framework for studying set-valued backward stochastic differential equations (set-valued BSDE), motivated largely by the current studies of…
Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations
Çağın Ararat, Zachary Feinstein
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynami…
Portfolio optimization with two coherent risk measures
Tahsin Deniz Aktürk, Çağın Ararat
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for po…
Computation of systemic risk measures: a mixed-integer programming approach
Çağın Ararat, Nurtai Meimanjan
Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of de…
Lower cone distribution functions and set-valued quantiles form Galois connections
Cagin Ararat, Andreas H Hamel
It is shown that the recently introduced lower cone distribution function and the associated set-valued multivariate quantile generate a Galois connection between a complete lattic…
Dual representations for systemic risk measures
Çağın Ararat, Birgit Rudloff
The financial crisis showed the importance of measuring, allocating and regulating systemic risk. Recently, the systemic risk measures that can be decomposed into an aggregation fu…
Set-valued shortfall and divergence risk measures
Çağın Ararat, Andreas H. Hamel, Birgit Rudloff
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures…
A Characterization Theorem for Aumann Integrals
Çağın Ararat, Birgit Rudloff
A Daniell-Stone type characterization theorem for Aumann integrals of set-valued measurable functions will be proven. It is assumed that the values of these functions are closed co…