In reliability optimization problems diverse situation occurs due to which it is not always possible to get relevant vprecision in system reliability. The imprecision in data can often be represented by triangular fuzzy numbers. In this manuscript, we have considered different fuzzy environment...

This paper develops tools for analyzing properties of stochastic objective functions which take the form (formula). The paper analyzes the relationship between properties of the primitive functions, such as utility functions u and probability distributions F, and properties of the stochastic...

Purpose: We aim to generalize the continuous-time principal-agent problem to incorporate time-inconsistent utility functions, such as those of mean-variance type, which are prevalent in risk management and finance. Design/methodology/approach: We use recent advancements of the Pontryagin maximum...

In an incomplete market we study the optimal consumption-portfolio decision of an investor with recursive preferences of Epstein-Zin type. Applying a classical dynamic programming approach, we formulate the associated Hamilton-Jacobi-Bellman equation and provide a suitable verification theorem....

A framework is developed for portfolio optimization with higher-order Stochastic Dominance constraints. A finite system of restrictions on the lower partial moments can be used for evaluating the efficiency of a given benchmark and for constructing enhanced portfolios which dominate the...

An optimization method is developed for constructing investment portfolios which stochastically dominate a given benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data sets of historical returns of equity price reversal...

We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. Maccheroni et al. 2006) and optimal portfolios generated by classical expected utility. As a special case we connect optimization of truncated...

Many practical optimization problems are characterized by some flexibility in the problem constraints, where this flexibility can be exploited for additional trade-off between improving the objective function and satisfying the constraints. Especially in decision making, this type of flexibility...

Many real-world problems in the financial sector have to consider different objectives which are conflicting, for example portfolio selection. Markowitz proposed an approach to determine the optimal composition of a portfolio analysing the trade-off between return and risk. Nevertheless, this...