Search Results - "PINAR, Mustafa C"

Robust screening under ambiguity by Pinar, Mustafa Ç, Kizilkale, Can

“…We consider the problem of screening where a seller puts up for sale an indivisible good, and a buyer with a valuation unknown to the seller wishes to acquire…”
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The robust Merton problem of an ambiguity averse investor by Biagini, Sara, Pınar, Mustafa Ç.

“…We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility…”
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On robust mean-variance portfolios by Pinar, Mustafa Ç

“…We derive closed-form portfolio rules for robust mean-variance portfolio optimization where the return vector is uncertain or the mean return vector is subject…”
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Equilibrium in an ambiguity-averse mean–variance investors market by Pinar, Mustafa Ç

“…•We investigate equilibrium implications of ambiguity aversion in a financial market.•The investors make portfolio decisions according to a mean–variance…”
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Structured Least Squares Problems and Robust Estimators by Pilanci, Mert, Arikan, Orhan, Pinar, Mustafa C

“…A novel approach is proposed to provide robust and accurate estimates for linear regression problems when both the measurement vector and the coefficient…”
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Provably optimal sparse solutions to overdetermined linear systems with non-negativity constraints in a least-squares sense by implicit enumeration by Aktaş, Fatih S., Ekmekcioglu, Ömer, Pinar, Mustafa Ç.

“…Computing sparse solutions to overdetermined linear systems is a ubiquitous problem in several fields such as regression analysis, signal and image processing,…”
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Robust auction design under multiple priors by linear and integer programming by Koçyiğit, Çağıl, Bayrak, Halil I., Pınar, Mustafa Ç.

“…It is commonly assumed in the optimal auction design literature that valuations of buyers are independently drawn from a unique distribution. In this paper we…”
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Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity by Pınar, Mustafa Ç., Burak Paç, A.

“…We consider the problem of optimal portfolio choice using the lower partial moments risk measure for a market consisting of n risky assets and a riskless…”
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Generalized second price auction is optimal for discrete types by Bayrak, Halil I., Pınar, Mustafa Ç.

“…We prove that a variant of the second price auction for the sale of a single good through a Bayesian incentive compatible mechanism that maximizes expected…”
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Delegated portfolio management under ambiguity aversion by Fabretti, Annalisa, Herzel, Stefano, Pınar, Mustafa Ç.

“…We examine the problem of setting optimal incentives for a portfolio manager hired by an investor who wants to induce ambiguity–robust portfolio choices with…”
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Static and dynamic VaR constrained portfolios with application to delegated portfolio management by Pinar, Mustafa Ç

“…We give a closed-form solution to the single-period portfolio selection problem with a Value-at-Risk (VaR) constraint in the presence of a set of risky assets…”
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Optimal allocation with costly inspection and discrete types under ambiguity by Bayrak, Halil I., Güler, Kemal, Pınar, Mustafa Ç.

“…We consider the following problem: a principal has a good to allocate among a collection of agents who attach a private value to receiving the good. The…”
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On the S-procedure and Some Variants by Derinkuyu, Kürşad, Pınar, Mustafa Ç.

“…We give a concise review and extension of S-procedure that is an instrumental tool in control theory and robust optimization analysis. We also discuss the…”
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Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets by Pınar, Mustafa Ç.

“…We describe a challenging class of large mixed-integer second-order cone programming models which arise in computing the maximum price that a buyer is willing…”
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Robust scenario optimization based on downside-risk measure for multi-period portfolio selection by Pinar, Mustafa Ç

“…We develop and test multistage portfolio selection models maximizing expected end-of-horizon wealth while minimizing one-sided deviation from a target wealth…”
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Calibrated American option pricing by stochastic linear programming by Antonelli, Fabio, Mancini, Carlo, Pınar, Mustafa Ç.

“…We propose an approach for computing the arbitrage-free interval for the price of an American option in discrete incomplete market models via linear…”
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Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming by Pinar, Mustafa

“…The lower hedging problem with a minimal expected surplus risk criterion in incomplete markets is studied for American claims in finite state financial…”
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Buyer's quantile hedge portfolios in discrete-time trading by Pinar, Mustafa Ç.

“…The problem of quantile hedging for American claims is studied from the perspective of the buyer of a contingent claim by minimizing the 'expected failure…”
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Expected gain–loss pricing and hedging of contingent claims in incomplete markets by linear programming by Pınar, Mustafa Ç., Salih, Aslıhan, Camcı, Ahmet

“…We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a “ λ gain–loss…”
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A model and case study for efficient shelf usage and assortment analysis by Fadiloglu, Mehmet Murat, Karasan, Oya Ekin, Pinar, Mustafa C

“…In the rapidly changing environment of Fast Moving Consumer Goods sector where new product launches are frequent, retail channels need to reallocate their…”
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