We optimize the asset allocation, consumption and bequest decisions of an investor with uncertain lifetime and under time-varying investment opportunities. The asset menu is given by stocks, zero coupon bonds and pure endowments with different maturities. The latter are contingent on either a...

We combine a dynamic programming approach (stochastic optimal control) with a multi-stage stochastic programming approach (MSP) in order to solve various problems in personal finance and pensions. Stochastic optimal control produces an optimal policy that is easy to understand and implement....

This article addresses the first-mile ride-sharing problem, which entails efficiently transporting passengers from a set of origins to a shared destination. Typical destinations are stations, central business districts, or hospitals. Successful optimization of this problem has the potential to...

We consider a car-sharing problem in a company during business hours. The employees, located at one or several offices, have to travel to one or more appointments each with a fixed location and fixed start and end times and return to one of the offices afterwards. Each employee trip can be...

Given a set of transport requests to a transit station and a set of homogeneous vehicle, both geographically dispersed in a business area, the First-Mile Ride-Sharing Problem (FMRSP) consists of finding least cost vehicle routes to transport passengers to the station by shared rides. In this...

The traditional optimization of the layout of a wind farm consisted in arranging the wind turbines inside a designated area. In contrast, the 2021 tender from the UK government, Offshore Wind Leasing Round 4 ("UK Round-4") and upcoming bids only specify large regions where the wind farm can be...

We consider a real-world packing problem faced by a logistics company that loads and ships hundreds of trucks every day. For each shipment, the cargo has to be selected from a set of heterogeneous boxes. The goal of the resulting container loading problem (CLP) is to maximize the value of the...

The multi-commodity network flow problem (MCNF) consists in routing a set of commodities through a capacitated network at minimum cost and is relevant for routing containers in liner shipping networks. As commodity transit times are often a critical factor, the literature has introduced hard...

The paper investigates the importance of inflation-linked annuities to individuals facing inflation risk. Given the investment opportunities in nominal, real, and variable annuities, as well as cash and stocks, we investigate the consumption and investment decisions under two different objective...

Problem definition: Merchant commodity and energy production assets operate in markets with volatile prices and exchange rates. Plant closures adversely affect societal entities beyond the specific plant being shutdown such as the parent company and the local community. Motivated by an aluminum...