Portfolio risk can be decomposed into two parts, the systematic risk and the nonsystematic risk. It is well known that the nonsystematic risk can be eliminated by diversification, while the systematic risk cannot. Thus, the portfolio risk, except for that of undiversified small portfolios, is...

Robust optimization, one of the most popular topics in the field of optimization and control since the late 1990s, deals with an optimization problem involving uncertain parameters. In this paper, we consider the relative robust conditional value-at-risk portfolio selection problem where the...

Consider a random vector, and assume that a set of its moments information is known. Among all possible distributions obeying the given moments constraints, the envelope of the probability distribution functions is introduced in this paper as distributional robust probability function. We show...

The aim of this paper is to apply the concept of robust optimization introduced by Bel-Tal and Nemirovski to the portfolio selection problems based on multi-stage scenario trees. The objective of our portfolio selection is to maximize an expected utility function value (or equivalently, to...

Manufacturer-retailer supply chains commonly adopt a wholesale price mechanism. This mechanism, however, has often led manufacturers and retailers to situations of conflicts of interest. For example, due to uncertain market demand, retailers prefer to order flexibly from manufacturers so as to...

In this paper, we investigate quality investment and price decision of a make-to-order (MTO) supply chain with uncertain demand in international trade. Due to volatility of orders from buyers, the supplier and the manufacturer in the supply chain are subject to financial risk. In contrast to the...

Scientific Research Assessment (SRA) is receiving increasing attention in both academic and industry. More and more organizations are recognizing the importance of SRA for the optimal use of scarce resources. In this paper, a vague set theory based decision support approach is proposed for SRA....

Companies, especially those in e-business, are increasingly offering free shipping to buyers whose order sizes exceed the free shipping quantity. In this paper, given that the supplier offers free shipping, we determine the retailer’s optimal order lot size and the optimal retail price. We...