This paper presents a novel approach to portfolio optimization based on perceived mean reversion in certain driftless markets, such as the foreign exchange spot market. This approach relies upon the likelihood ratio between the perceived and realized price distribution densities of the asset...

This paper examines the performance from 1996 to 2020 of mean-variance efficient portfolios of monthly options with all available strikes on each of the S&P 500, Nasdaq 100, and Dow Jones indexes, using a constrained optimization approach that incorporates position limits, transaction costs, and...

This paper examines how volatility positions can be optimally constructed by modeling the selection process as a linear discrete ill-posed problem with box constraints. We show how this framework allows for a priori investor expectations and risk parameters to be applied in the optimization...

The Bayes-Stein model provides a framework for remedying parameter uncertainty in the Markowitz mean-variance portfolio optimization. The classical version, however, suffers from estimation errors of model components and fails to consistently outperform the naive 1/N asset allocation rule. We...

We consider an assortment optimization problem where the retailer needs to choose a set of products to offer to customers from the range of available products. By choosing the assortment, which will affect customers' purchase choice, the retailer aims to obtain a high expected revenue. We study...

In this paper, we study a multi-objective supply, production and distribution planning problem (MSPDP) originated from a dairy company in China, where three echelons of supply chain including customers, pastures, and factories are considered. In practice, the company endeavors to utilize raw...

Consider a robust retirement decision problem for a risk- and ambiguity-averse investor concerned about return ambiguity in risky asset prices. When the investor aims to maximize the worst-case scenario of his/her utility derived from consumption and bequest, we propose an optimal G-stopping...

This paper considers a multi-agent optimal investment problem with conservative sentiments in an incomplete market by a BSDE approach. Particularly, we formulate the conservative sentiments of the agents by a sup-inf/inf-sup problem where we take infimum on a choice of a probability measure and...

The artificial bee colony (ABC) optimization algorithm has been widely used to solve the global optimization problems. Many versions of ABC algorithm exist in the literature intending to achieve optimum solution for problems in different domains. Some modifications of the ABC algorithm are...

In the context of job scheduling, the time required to complete a task is related not only to the intrinsic difficulty of the task, but also to the operator's willingness to speed up (or slow down) its execution. In fact, service operators are sometimes authorized to flexibly calibrate job...