Sensitivity to uncertainty and scalarization in robust multiobjective optimization: an overview with application to mean-variance portfolio optimization

Matteo Rocca ()
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Matteo Rocca: Universitá degli Studi dell’Insubria

Annals of Operations Research, 2025, vol. 346, issue 2, No 36, 1686 pages

Abstract: Abstract Robust optimization is proving to be a fruitful tool to study problems with uncertain data. In this paper we deal with the minmax aproach to robust multiobjective optimization. We survey the main features of this problem with particular reference to results concerning linear scalarization and sensitivity of optimal values with respect to changes in the uncertainty set. Furthermore we prove results concerning sensitivity of optimal solutions with respect to changes in the uncertainty set. Finally we apply the presented results to mean-variance portfolio optimization.

Keywords: Multiobjective optimization; Robust optimization; Portfolio optimization (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10479-022-04951-6

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