The multi-commodity network flow problem (MCNF) consists in routing a set of commodities through a capacitated network at minimum cost and is relevant for routing containers in liner shipping networks. As commodity transit times are often a critical factor, the literature has introduced hard...

We optimize the asset allocation, consumption and bequest decisions of an investor with uncertain lifetime and under time-varying investment opportunities. The asset menu is given by stocks, zero coupon bonds and pure endowments with different maturities. The latter are contingent on either a...

We combine a dynamic programming approach (stochastic optimal control) with a multi-stage stochastic programming approach (MSP) in order to solve various problems in personal finance and pensions. Stochastic optimal control produces an optimal policy that is easy to understand and implement....