In single-period portfolio selection problems the expected value of both the risk measure and the portfolio return have to be estimated. Historical data realizations, used as equally probable scenarios, are frequently used to this aim. Several other parametric and non-parametric methods can be...

In the Single Source Capacitated Facility Location Problem (SSCFLP) each customer has to be assigned to one facility that supplies its whole demand. The total demand of customers assigned to each facility cannot exceed its capacity. An opening cost is associated with each facility, and is paid...

In this paper we study the problem of replicating the performances of a stock market index, i.e. the so-called index tracking problem, and the problem of out-performing a market index, i.e. the so-called enhanced index tracking problem. We introduce mixed-integer linear programming (MILP)...

Markov chain theory is proving to be a powerful approach to bootstrap finite states processes, especially where time dependence is non linear. In this work we extend such approach to bootstrap discrete time continuous-valued processes. To this purpose we solve a minimization problem to partition...