2 papers
math.OC2022
A Double-oracle, Logic-based Benders decomposition approach to solve the K-adaptability problem
Alireza Ghahtarani, Ahmed Saif, Alireza Ghasemi +1
We propose a novel approach to solve K-adaptability problems with convex objective and constraints and integer first-stage decisions. A logic-based Benders decomposition is applied…
q-fin.PM2021
Robust Portfolio Selection Problems: A Comprehensive Review
Alireza Ghahtarani, Ahmed Saif, Alireza Ghasemi
In this paper, we provide a comprehensive review of recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspe…