Estimation errors or uncertainities in expected return and risk measures create difficulties for portfolio optimization. The literature deals with the uncertainty using stochastic, fuzzy or ...

Students will learn the foundations of linear programming, properties of optimal solutions and various solution methods for optimizing problems involving a linear objective function and linear ...

We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...

Research teams from energy giant ExxonMobil and IBM have been working together to find quantum solutions to one of the most complex problems of our time: managing the tens of thousands of merchant ...