For many decision-making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or ...

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 ...

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 buying and selling ...

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

LyondellBasell Industries operated one of the largest refineries in the U.S.—located in Houston, Texas (U.S.), just off the ...

Depending on the size of the initial investment, transaction costs are an important consideration when it comes to smartly investing money and growing a portfolio for retirement. In addition, ...