Written by an experienced operations research practitioner with a strong applied mathematics background, this book offers practical insights into how to approach optimization problems, how to develop intelligent and efficient mathematical models and algorithms, and how to implement and deliver...

In this paper, we consider the strategic asset allocation of an insurance company. This task can be seen as a special case of portfolio optimization. In the 1950s, Markowitz proposed to formulate portfolio optimization as a bicriteria optimization problem considering risk and return as...