We consider in this paper the mean–variance formulation in multi-period portfolio selection under no-shorting constraint. Recognizing the structure of a piecewise quadratic value function, we prove that the optimal portfolio policy is piecewise linear with respect to the current wealth level,...

Instead of controlling "symmetric" risks measured by central moments of investment return or terminal wealth, more and more portfolio models have shifted their focus to manage "asymmetric" downside risks that the investment return is below certain threshold. Among the existing downside risk...

We propose in this paper a fixed parameter polynomial algorithm for the cardinality-constrained quadratic optimization problem, which is NP-hard in general. More specifically, we prove that, given a problem of size n (the number of decision variables) and s (the cardinality), if the n−k...

Risk and safety programs need to be monitored and evaluated through real-world experience and performance. Several perspectives on the program might be useful across organizational units, stakeholders, and subject-matter experts. Quantifications of risks, benefits, and costs of the programs as...

Communities worldwide face diminished infrastructure performance and increased operating and capital costs resulting from unmanaged industrial, commercial, and residential development that impinges on their infrastructure corridors. It is important that planners anticipate and proactively manage...

The consideration of emergent scenarios of economy, environment, technology, etc. is mandated by the US Department of Transportation for long-range transportation planning of infrastructure that will involve federal funding. This paper develops a practical methodology of scenario-based planning...

Allocating resources to competing large-scale infrastructure projects involves multiple objectives. Traditional decision-aiding methodologies focus on the trade-offs among performance and resource objectives. Existing methodologies may fail to account for unknown and emergent risks that are...

Enterprise resource planning (ERP) systems have been widely applied in the fashion industry. An ERP system is a cross-functional system which integrates various units in the company with an attempt to shorten processing time, increase responsiveness, and achieve competitive advantages. Among all...

We study the service commitment strategy and pricing decisions in a single-supplier single-retailer supply chain where all the players (and consumers) are risk averse. Motivated by various industrial practices, we explore the case where the retailer determines whether to provide a service...