The generalized Capital Asset Pricing Model based on mixed CVaR deviation is used for calibrating risk preferences of investors protecting investments in S&P500 by means of options. The corresponding new generalized beta is designed to capture tail performance of S&P500 returns. Calibration is...

In this paper, we develop a simple algorithm for obtaining the global solution to a small scale fixed-charge transportation problem (FCTP). The procedure itself is very quick. The proposed method solves FCTP by decomposing the problem into series of smaller sub-problems, which is novel and can...

In this paper, we consider a multi-index constrained transportation problem (CTP) of axial constraints with bounds on destination requirements, source availabilities, and multiple types of commodities. The specified problem is converted into a related transportation problem by adding a source, a...

In this paper, we consider a multi-index constrained transportation problem (CTP) of axial constraints with bounds on destination requirements, source availabilities, and multiple types of commodities. The specified problem is converted into a related transportation problem by adding a source, a...

In this paper, we develop a simple algorithm for obtaining the global solution to a small scale fixed-charge transportation problem (FCTP). The procedure itself is very quick. The proposed method solves FCTP by decomposing the problem into series of smaller sub-problems, which is novel and can...