An Asymptotic Theory of Growth Under Uncertainty

Robust Maximization of Asymptotic Growth under Covariance Uncertainty by Erhan Bayraktar1 and Yu-jui Huang

This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576–1610]: how to invest in a robust growthoptimal way in a market where precise knowledge of the covariance structure of the underlying assets is unavailable. Among an appropriate class of admissible covariance structures, we characterize the optimal trading strategy in terms of a generalized versi...

Growth Rates under Interval Uncertainty

For many real-life systems ranging from financial to populationrelated to medical, dynamics is described by a system of linear equations. For such systems, the growth rate λ can be determined as the largest eigenvalue of the corresponding matrix aij . In many practical situations, we only know the components of the matrix aij with interval (or fuzzy) uncertainty. In such situations, it is desir...

Allais’s Theory of ‘‘Expectations’’ Under Uncertainty

Algebraic Uncertainty Theory: A Unifying Perspective on Reasoning under Uncertainty

The question of how to represent and process uncertainty is of fundamental importance to the scientific process, but also in everyday life. Currently there exist a lot of different calculi for managing uncertainty, each having its own advantages and disadvantages. Especially, almost all are defining the domain and structure of uncertainty values a priori, e.g., one real number, two real numbers...

Optimization under Uncertainty Optimization Under Uncertainty: An Overview

Optimization under Uncertainty Optimization under Uncertainty: An Overview Urmila Diwekar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Two-Stage Stochastic Linear Programming: A Tutorial Vicente Rico-Ramirez . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 Combinatorial Optimization under Uncertainty Ki-Joo Kim . . . . . . . . . . . . . . . . . . . . . . . . . . ...