In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the...

We apply numerical dynamic programming to multi-asset dynamic portfolio optimization problems with proportional transaction costs. Examples include problems with one safe asset plus two to six risky stocks, and seven to 360 trading periods in a finite horizon problem. These examples show that it...

We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computation, as processors enter and leave the pool of workstations. The algorithm is...

Contemporary financial stochastic programs typically involve a trade-off between return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...

This paper investigates to what extent and through which channels that health and educational attainment are interdependent. A dynamic model of schooling, work, health expenditure, and savings is developed. The structural framework explicitly models two existing hypotheses on the correlation...

We propose a model of equilibrium contracting between two agents who are "boundedly rational" in the sense that they face time-costs of deliberating current and future transactions. We show that equilibrium contracts may be incomplete and assign control rights: they may leave some enforceable...

__Abstract__ Many of the world’s most urgent problems such as climate change, population growth, poverty, malnutrition and environmental degradation not only demand solutions but also require us to find more sustainable ways of living. Market mechanisms can be effective in solving large-scale...

Sustainability has become a major issue in most economies, causing many leading companies to focus on product recovery and reverse logistics. This research is focused on product recovery, and in particular on production control and inventory management in the remanufacturing context. We study a...

Many e-tailers providing attended home delivery, especially e-grocers, offer narrow delivery time slots to ensure satisfactory customer service. The choice of delivery time slots has to balance marketing and operational considerations, which results in a complex planning problem. We study the...

This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for commodity-exporting countries. We show that the introduction of hedging instruments such as futures and options enhances domestic welfare through two channels. First, by...