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 ...

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 ...

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 ...

Our findings suggest there is merit to Sherman ratio optimization in portfolio construction. In addition, combining Sherman ratio optimization with constraints on individual bond weights provides a ...

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