For a given graph (network) having costs [cij] associated with its links, the present paper examines the problem of finding a cycle which traverses every link of the graph at least once, and which incurs the minimum cost of traversal. This problem (called thegraph traversal problem, or...

In this paper we capture the implied distribution from option market data using a non-recombining (binary) tree, allowing the local volatility to be a function of the underlying asset and of time. The problem under consideration is a non-convex optimization problem with linear constraints. We...

The loading problem is defined as the allocation of given items with known magnitude to boxes with constrained capacity, so as to minimize the number of boxes required. Two methods of solution are considered: The first is by a zero-one programming model, for which the solution procedure is...

This paper is a survey of available methods for the solution of the Set Covering Problem. The prime objective has been to establish the computational efficiency and relative merits of the various algorithms that have been proposed. To this end five methods have been programmed and tested on the...

Lev's claim [Lev, B. 1972. On the loading problem--A comment. Management Sci. 18(7) 428-431.] that his modification to the E & C heuristic (as he calls it) is a significant improvement is highly exaggerated.

The Omega ratio is a recent performance measure proposed to overcome the known shortcomings of the Sharpe ratio. Until recently, the Omega ratio was thought to be computationally intractable, and research was focused on heuristic optimization procedures. We have shown elsewhere that the Omega...