Abstract We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk measure. For continuous- and discrete-time financial...

We computationally assess policies for the elevator control problem by a new column-generation approach for the linear programming method for discounted infinite-horizon Markov decision problems. By analyzing the optimality of given actions in given states, we were able to provably improve the...

Perishables, such as packed fresh food and pharmaceutical products (a.o. blood products), typically have a fixed shelf life set by a fixed use-by date or sell-by date. Despite their limited life time, orders in practice are usually based on the stock level irrespective of the ages of the...