This paper provides an overview of developments in robust optimization since 2007. It seeks
to give a representative picture of the research topics most explored in recent years …

Robust portfolio optimization refers to finding an asset allocation strategy whose behavior
under the worst possible realizations of the uncertain inputs, eg, returns and covariances, is …

In this paper, we develop distribution-free models that solve the appointment sequencing
and scheduling problem by assuming only moments information of job durations. We show …

Purpose This study aims to advance the understanding of the relationships between
employee engagement (EE), satisfaction and turnover intention (TI) beyond their known …

Portfolio optimization aims to minimize risk and maximize return on investment by
determining the best combination of securities and proportions. The variance in portfolio …

This article reviews two leading measures of financial risk and an emerging alternative.
Embraced by the Basel accords, value-at-risk and expected shortfall are the leading …

This study develops closed-form solutions for distortion risk measures (DRM) in extreme
cases by utilizing the first two moments and the symmetry of underlying distributions. The …

Motivated by the asymmetrical attitudes of investors towards downside losses and upside
gains, this paper proposes a robust multi-period portfolio selection model based on …

This paper reviews recent advances in robust portfolio selection problems and their
extensions, from both operational research and financial perspectives. A multi-dimensional …

We develop robust models for optimization of the VaR (value at risk) and CVaR (conditional
value at risk) risk measures with a minimum expected return constraint under joint ambiguity …