In this paper, we consider the strategic asset allocation of an insurance company. This task can be seen as a special case of portfolio optimization. In the 1950s, Markowitz proposed to formulate portfolio optimization as a bicriteria optimization problem considering risk and return as...

In this article we introduce robustness measures in the context of multi-objective integer linear programming problems. The proposed measures are in line with the concept of decision robustness, which considers the uncertainty with respect to the implementation of a specific solution. An...