Nilay Noyan, Gábor Rudolf, Optimization with Multivariate Conditional Value-at-Risk Constraints, Operations Research, Vol. 61, No. 4 (July-August 2013), pp. 990-1013 ...

We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...

Process operation optimization: Real-time optimization seeks to determine set points for the controllers to maximize efficiency, conservation, and throughput, while minimizing expenses, waste, ...

Did you consider yourself a mathematician the last time you sat down to solve a Sudoku puzzle? It’s certainly a mentally ...

The researchers also considered an extension of the STSP that includes time windows for simultaneous pickups and deliveries, creating a more realistic and challenging problem. The core method involves ...

Abstract ABSTRACT This paper considers long-short portfolio optimization in the presence of two risk measures (variance and conditional value-at-risk (CVaR)), and asset choice constraints regarding ...

In this paper the authors investigate how fixed-fee transaction costs affect portfolio rebalancing.