Energy sector portfolio analysis with uncertainty

Robustness-based portfolio optimization under epistemic uncertainty

In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood-based approach. This paper first proposes a ...

Portfolio Selection with Parameter and Model Uncertainty ∗

In this paper, we extend the mean-variance portfolio model to explicitly account for uncertainty about the estimated expected returns and/or the underlying return-generating model. We do this by first imposing an additional constraint on the mean-variance portfolio optimization program that restricts each parameter to lie within a specified confidence interval of its estimated value, and then b...

Online Learning of Portfolio Ensembles with Sector Exposure Regularization

We consider online learning of ensembles of portfolio selection algorithms and aim to regularize risk by encouraging diversification with respect to a predefined risk-driven grouping of stocks. Our procedure uses online convex optimization to control capital allocation to underlying investment algorithms while encouraging non-sparsity over the given grouping. We prove a logarithmic regret for t...

A Local Analysis of N - Sector Capital Accumulation under Uncertainty

Bifurcation Analysis for Phage Lambda with Binding Energy Uncertainty

In a phage λ genetic switch model, bistable dynamical behavior can be destroyed due to the bifurcation caused by inappropriately chosen model parameters. Since the values of many parameters with biological significance often cannot be accurately acquired, it is thus of fundamental importance to analyze how and to which extent the system dynamics is influenced by model parameters, especially tho...