We examine operating and investment decisions in a duopolistic industry in which an initial investment in research yields an immediate tax benefit for one firm, but creates a net operating loss carryover for the other firm. We show that the conventional wisdom that suggests that the first firm...

Nowadays many employers offer their employees the possibility of an insurance against too large losses in income when retiring or becoming disabled. This paper models the optimization problem of the employer when setting up such a so-called pension fund. Not surprisingly, it turns out that the...

In this paper we focus on robust linear optimization problems with uncertainty regions defined by [phi]-divergences (for example, chi-squared, Hellinger, Kullback-Leibler). We show how uncertainty regions based on [phi]-divergences arise in a natural way as confidence sets if the uncertain...