Recently, Bomze et al. introduced a sparse conic relaxation of the scenario problem of a two stage stochastic version of the standard quadratic optimization problem. When compared numerically to Burer's classical reformulation, the authors showed that there seems to be almost no difference in...

In the portfolio optimization, the goal is to distribute the fixed capital on a set of investment opportunities to maximize return while managing risk. Risk and return are quantities that are used as input parameters for the optimal allocation of the capital in the suggested models. But these...

How should a decision-maker allocate R&D funds when a group of experts provides divergent estimates on a technology's potential effectiveness? To address this question, we propose a simple decision-theoretic framework that takes into account ambiguity over the aggregation of expert opinion and a...