The use of linear programming to select diets to meet specific nutritional requirements frequently results in an over-supply of certain nutrients. Nutritional balance is difficult to achieve in diets ...

The Omega ratio is a recent performance measure. It captures both the downside and upside potentials of the constructed portfolio, while remaining consistent with utility maximization. In this paper, ...

We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to ...

Computer programs to solve linear programming problems by the simplex method have existed since the early 1950s. They remain the central feature of today's mathematical programming systems. There has ...