While dynamic decision making has traditionally been represented as scenario trees, these may become severely intractable and difficult to compute with an increasing number of time periods. We present an alternative tractable approach to multiperiod international portfolio optimization based on...

Robust portfolio optimization aims to maximize the worst-case portfolio return given that the asset returns are allowed to vary within a prescribed uncertainty set. If the uncertainty set is not too large, the resulting portfolio performs well under normal market conditions. However, its...

We address the maximization of a project's expected net present value when the activity durations and cash flows are described by a discrete set of alternative scenarios with associated occurrence probabilities. In this setting, the choice of scenario-independent activity start times frequently...