We solve the problem of a social planner who seeks to minimize inequality via transfers with a fixed public budget in a distribution of exogenously given incomes. The appropriate solution method depends on the objective function: If it is convex, as in the case of the absolute mean deviation, it...

Index tracking has long been of interest for both industry of fund management andacademia. Various methods have been proposed and tested and various issues arediscussed throughout the past 30 years. Yet one issue remains unresolved is how toperform stock selection optimally. In this paper, I...

The prevalence of electronic devices has propelled the tremendous growth of the semiconductor industry in the past half century. The manufacturing of semiconductor wafers is a long and delicate process, where defect points may occur and cause the failure of the entire circuit. As more advanced...

We introduce the market resources method (MRM) for solving dynamic optimization problems. MRM extends Carroll's (2006) endogenous grid point method (EGM) for problems with more than one control variable using policy function iteration. The MRM algorithm is simple to implement and provides...

We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the...

In 1956, Freund introduced the analysis of price risk in a mathematical programming framework. This paper generalizes the treatment of price risk preferences in a mathematical programming framework along the lines suggested by Meyer (1987) who demonstrated the equivalence of expected utility and...