Portfolio optimization problems involving value at risk (VaR) are often computationally intractable and require complete information about the return distribution of the portfolio constituents, which is rarely available in practice. These difficulties are compounded when the portfolio contains...

The existence of uncertainty influences the investment, production and pricing decision of firms. Therefore, capacity expansion models need to take into account uncertainty. This uncertainty, may arise because of errors in the specification, statistical estimation of relationships and in the...