Real option theory has remained a fringe field; practitioners believe it is not practically applicable in complex real world environments. We show that this view is mistaken. We apply real option theory to a highly complex energy problem with unhedgeable risk, time varying volatilities and...

This discussion paper resulted in a publication in 'Discrete Optimization', 2007, 4, 315-321.<P> In this paper an algorithm is proposed to find an integral solution of (nonlinear) complementarity problems. The algorithm starts with a nonnegative integral point and generates a unique sequence of...</p>

This discussion paper resulted in a publication in the 'SIAM Journal on Optimization', 2006, 16, 854-870. <P> It is well known that an upper semi-continuous compact- and convex-valued mapping fi from a nonempty compact and convex set X to the Euclidean space of which X is a subset has at least one...</p>

This discussion paper led to a publication in <A href="http://www.sciencedirect.com/science/article/pii/S0377221711004498">'European Journal of Operational Research'</A>, 214(3), 493-500.<P>We study the existence problem of a zero point of a function defined on a finite set of elements of the integer lattice of the n-dimensional Euclidean space. It is assumed that the set is...</p></a>

This discussion paper resulted in a publication in <A href="http://link.springer.com/article/10.1007%2Fs11238-010-9196-5">'Theory and Decision'</A>, 2011, 71(2), 269-295.<P> Unique-lowest sealed-bid auctions are auctions in which participation is endogenous and the winning bid is the lowest bid among all unique bids. Such auctions admit very many Nash equilibria (NEs) in...</p></a>

This discussion paper resulted in a publication in the 'SIAM Journal on Optimization', 2007, 18, 290-308. <P> In this paper we present two general results on the existence of a discrete zero point of a function from the n-dimensional integer lattice Zn to the n-dimensional Euclidean space Rn. Under...</p>

This discussion paper resulted in a publication in 'Mathematical Programming', ser. A, 2006, 108, 127-134. <P>

This discussion paper resulted in a publication in the 'Journal of Optimization Theory and Applications', 2010, 144, 391-407. <p> Tucker's well-known combinatorial lemma states that for any given symmetric triangulation of the n-dimensional unit cube and for any integer labeling that assigns to...</p>

Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...

This paper features an analysis of the effectiveness of a range of portfolio diversication strategies as applied to a set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund categories, as compiled by the EDHEC Risk Institute. The...