In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the...

By considering firms operating in a perfectly- or monopolisticallycompetitive industry with free entry, we show that well-established results on the celebrated LeChatelier principle (LCP) do not extend into an endogenous competitive environment. For instance, labour demand may be more elastic in...

We present and evaluate a numerical optimization method (together with an algorithm for choosing the starting values) pertinent to the constrained optimization problem arising in the estimation of the GARCH models with inequality constraints, in particular the Simplified Component GARCH Model...

A new smoothing approach based on entropic perturbation is proposed for solving mathematical programs with equilibrium constraints. Some of the desirable properties of the smoothing function are shown. The viability of the proposed approach is supported by a computationalstudy on a set of...

We present new lower bounds for the Capacitated Lot Sizing Problem with Set Up Times. We improve the lower bound obtained by the textbook Dantzig-Wolfe decomposition where the capacity constraints are the linking constraints. In our approach, Dantzig-Wolfe decomposition is applied to the network...

Revenue management is the practice of selecting those customers that generate the maximum revenue from a fixed and perishable capacity. Cargo revenue management differs from the well-known passenger revenue management problem by the fact that its capacity constraint is 2-dimensional, i.e. weight...

Transshipments, monitored movements of material at the same echelon of a supply chain, represent an effective pooling mechanism. With a single exception, research on transshipments overlooks replenishment lead times. The only approach for two-location inventory systems with non-negligible lead...

In this study we consider a pick-to-pack orderpicking system, in which batches of orders are picked simultaneously from different(work) zones by a group of order pickers. After picking, the orders are transported by a conveyor to the next station for packing. Our aim is to determine the optimal...

Production planning on multiple parallel machines is an interesting problem, both from a theoretical and practical point of view. The parallel machine lotsizing problem consists of finding the optimal timing and level of production and the best allocation of products to machines. In this paper...

In this paper we introduce the problem of shunting passenger train units in a railway station. Shunting occurs whenever train units are temporarily not necessary to operate a given timetable. We discuss several aspects of this problem and focus on two subproblems. We propose mathematical models...