you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano.

 

Wednesday, 30 September 2026, 12.15-13.15

Seminar room, third floor, building 14, Via Bonardi 9, Milano (Leonardo Campus); online (Microsoft Teams), Link 

Asmerilda Hitaj (Università dell’Insubria)

Abstract: A new approach to optimizing or hedging a portfolio of financial positions is presented and tested with applications to energy market. Motivated by uncertainty in the estimation of problem data we consider robust bi-objective optimization problems with mean and conditional value-at-risk objective functions where the underlying probability distribution of portfolio return is only known to belong to a certain set. To tackle the problem of uncertainty we consider two different approaches: in the first one, uncertainty is represented by an elliptic set centered at the sample estimators of mean and covariance matrix; in the second one, uncertainty takes into account experts beliefs. For both approaches, we derive analytical semi-closed-form solutions for the worst-case mean-CVaR portfolio; in addition, we provide a characterization of the location of the robust Pareto frontier with respect to the corresponding original Pareto frontier.

All news can be found on the QFinLab webpage.