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...

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the...

This discussion paper resulted in a publication in <I>Structural Change and Economic Dynamics</I>, 2013, 24, 141-156.<P> We address the notion of dynamic, endogenous diversity and its role in theories of investment and technological innovation. We develop a formal model of an innovation arising from the...</p></i>

We consider a model for a serial supply chain in which production, inventory, and transportation decisions are integrated, in the presence of production capacities and for different transportation cost functions. The model we study is a generalization of the traditional single-item economic...

In this paper we study a challenging call center operation problem. The goal of our analysis is to identify an optimal policy for allocating tasks to agents. As a first step, we discuss promising randomized policies and use stochastic approximation for finding the optimal randomized policy when...

This discussion paper resulted in a publication in <A href="http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=8239378&fulltextType=RA&fileId=S026996481000032X">'Probability in the Engineering and Informational Sciences'</A>, 25(2), 157-69.<p>A version of the classical secretary problem is studied, in which one is interested in selecting one of the <I>b</I> best out of a group of <I>n</I> differently ranked persons who are...</i></i></p></a>

This discussion paper led to a publication in <A href="http://www.springerlink.com/index/J107501580204223.pdf">'De Economist'</A>, 159(3), 323-360.<p>We investigate numerically how indexation of funded pensions for inflation can be differ-entiated across the various groups of fund participants. The pension arrangement is modelledafter the Dutch situation. While the...</p></a>

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 short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...

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>