This paper describes the integration of a network optimization algorithm with a decision and information system for the Graduate School of Management at UCLA. This optimization algorithm plays an important role in the determination of the annual teaching schedule by assigning faculty to courses...

This paper develops a framework for managing portfolios of fixed income instruments based on traditional principles from the equities market, i.e., based on diversification. It shows, through an analysis of the high-yield bond market over the period 1987 to 1991, that fixed-income prices could...

Asset allocation among diverse financial markets is essential for investors especially under situations such as the financial crisis of 2008. Portfolio optimization is the most developed method to examine the optimal decision for asset allocation. We employ the hidden Markov model to identify...

The paper provides some guidelines to individuals with defined contribution (DC) pension plans on how to manage pension savings both before and after retirement. We argue that decisions regarding investment, annuity payments, and the size of death sum should not only depend on the individual’s...

An important, recurring problem in statistics involves the determination of strata boundaries for use in stratified sampling. This paper describes a practical method for stratifying a population of observations based on optimal cluster analysis. The goal of stratification is constructing a...

Several financial planning problems are posed as dynamic generalized network models with stochastic parameters. Examples include: asset allocation for portfolio selection, international cash management, and programmed-trading arbitrage. Despite the large size of the resulting stochastic...