In this paper, we propose multi-stage stochastic linear programming for asset-liability management under time-varying investment opportunities. We use a first-order unrestricted vector autoregressive process to model predictability in the asset returns and the state variables, where - additional...

Purpose – This paper aims to use a risk management approach for re-profiling of sovereign debt. It develops profiles that trade off expected cost of financing alternative debt structures against their risk. The risk profiles are particularly informative for countries facing sovereign debt...

In this paper, a stochastic model is proposed for planning the location and operation of Molten Carbonate Fuel Cell Power Plants (MCFCPPs) in distribution networks when used for Combined Heat, Power, and Hydrogen (CHPH) simultaneously. Uncertainties of electrical and thermal loads forecasting;...

In this study, a new Pseudo-optimal Inexact Stochastic Interval Type-2 Fuzzy Sets Linear Programming (PIS-IT2FSLP) energy model is developed to support energy system planning and environment requirements under uncertainties for Xiamen City. The PIS-IT2FSLP model is based on an integration of...

In this paper we consider characterizations of the robust uncertainty sets associated with coherent and distortion risk measures. In this context we show that if we are willing to enforce the coherent or distortion axioms only on random variables that are affine or linear functions of the vector...

Purpose –This paper aims to use a risk management approach for re-profiling of sovereign debt. It develops profiles that trade off expected cost of financing alternative debt structures against their risk. The risk profiles are particularly informative for countries facing sovereign debt...

This article presents a model to assist decision makers in the logistics of a flood emergency. The model attempts to optimize inventory levels for emergency supplies as well as vehicles’ availability, in order to deliver enough supplies to satisfy demands with a given probability. A...

We propose a multi-depot location-routing model considering network failure, multiple uses of vehicles, and standard relief time. The model determines the locations of local depots and routing for last mile distribution after an earthquake. The model is extended to a two-stage stochastic program...