3 papers
q-fin.PM2026
Comparing Mixture, Box, and Wasserstein Ambiguity Sets in Distributionally Robust Asset Liability Management
Alireza Ghahtarani, Ahmed Saif, Alireza Ghasemi
Asset Liability Management (ALM) represents a fundamental challenge for financial institutions, particularly pension funds, which must navigate the tension between generating compe…
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…