The mean-risk stochastic mixed-integer programs can better model complex decision problems under uncertainty than usual stochastic (integer) programming models. In order to derive theoretical results in a numerically tractable way, the contamination technique is adopted in this paper for the...

General multiperiod optimal consumption and investment problems with proportional transaction costs are investigated in this paper, a GARCH-type process is used to model the risky asset’s return series so that its time-varying moments and conditional heteroskedasticity can be properly...

For our introduced mixed-integer quadratic stochastic program with fixed recourse matrices, random recourse costs, technology matrix and right-hand sides, we study quantitative stability properties of its optimal value function and optimal solution set when the underlying probability...

In this paper we model the instantaneous spot interest rate in a financial market by means of a marked point process with bounded, predictable intensity. The transformed intensity of the point process vanishes when the interest rate leaves a prescribed bounded interval. We show that the pure...

An asset is considered whose logarithmic price is the sum of a drift term, a Brownian motion and jumps of a Poisson process. Various items of future information about the price process are considered available to an informed agent. The optimal attainable wealths of both informed and uninformed...