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....

This article addresses the first-mile ride-sharing problem, which entails efficiently transporting passengers from a set of origins to a shared destination. Typical destinations are stations, central business districts, or hospitals. Successful optimization of this problem has the potential to...

We consider a car-sharing problem in a company during business hours. The employees, located at one or several offices, have to travel to one or more appointments each with a fixed location and fixed start and end times and return to one of the offices afterwards. Each employee trip can be...

Given a set of transport requests to a transit station and a set of homogeneous vehicle, both geographically dispersed in a business area, the First-Mile Ride-Sharing Problem (FMRSP) consists of finding least cost vehicle routes to transport passengers to the station by shared rides. In this...