We address the maximization of a project's expected net present value when the activity durations and cash flows are described by a discrete set of alternative scenarios with associated occurrence probabilities. In this setting, the choice of scenario-independent activity start times frequently...

The deregulation of electricity markets increases the financial risk faced by retailers who procure electric energy on the spot market to meet their customers’ electricity demand. To hedge against this exposure, retailers often hold a portfolio of electricity derivative contracts. In this...

Robust portfolio optimization aims to maximize the worst-case portfolio return given that the asset returns are allowed to vary within a prescribed uncertainty set. If the uncertainty set is not too large, the resulting portfolio performs well under normal market conditions. However, its...