First of all, the problem scope and the theoretical foundation are presented. The considered ISC network is a layered network in which nodes represent points of interactions between the two layers.

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 ...

Course in stochastic optimization with an emphasis on formulating, solving, and approximating optimization models under uncertainty. Topics include: Models and applications: extensions of the linear ...

Option pricing and stochastic control methods constitute a vital intersection of quantitative finance and applied mathematics, offering robust frameworks for evaluating derivative securities and ...

We propose dual decomposition and solution schemes for multistage CVaR-constrained problems. These schemes meet the need for handling multiple CVaR-constraints for different time frames and at ...