For determining an optimal portfolio allocation, parameters representing the underlying market—characterized by expected asset returns and the covariance matrix—are needed. Traditionally, these point estimates for the parameters are obtained from historical data samples, but as experts often...

For sequential decision processes with countable state spaces, we prove compactness of the set of strategic measures corresponding to nonrandomized policies. For the Borel state case, this set may not be compact (Piunovskiy, Optimal control of random sequences in problems with constraints....

We study three types of practical optimization problems faced by a firm that can control its liquid reserves by paying dividends and by issuing new equity. In the first problem, we consider the classical dividend problem without equity issuance. The second problem aims at maximizing the expected...

Given a simple, undirected graph G, Budinich (Discret Appl Math 127:535–543, 2003) proposed a lower bound on the clique number of G by combining the quadratic programming formulation of the clique number due to Motzkin and Straus (Can J Math 17:533–540, 1965) with the spectral decomposition...

This paper considers the pricing of multiple exercise options in discrete time. This type of option can be exercised up to a finite number of times over the lifetime of the contract. We allow multiple exercise of the option at each time point up to a constraint, a feature relevant for pricing...

Classical location models fix an objective function and then attempt to find optimal points to this objective. In the last years a flexible approach, the ordered median problem, has been introduced. It handles a wide class of objectives, such as the median, the center and the centdian function....

This paper investigates an optimal investment problem faced by a defined contribution (DC) pension fund manager under inflationary risk. It is assumed that a representative member of a DC pension plan contributes a fixed share of his salary to the pension fund during the finite time horizon [0,...

This paper deals with discrete-time Markov control processes in Borel spaces, with unbounded rewards. The criterion to be optimized is a long-run sample-path (or pathwise) average reward subject to constraints on a long-run pathwise average cost. To study this pathwise problem, we give...

We develop a framework for analyzing an executive’s own-company stockholding and work effort preferences. The executive, characterized by risk aversion and work effectiveness parameters, invests his personal wealth without constraint in the financial market, including the stock of his own...

We study the stability of subcritical multi-class queueing networks with feedback allowed and a work-conserving head-of-the-line service discipline. Assuming that the fluid limit model associated to the queueing network satisfies a state space collapse condition, we show that the queueing...