In this paper, we identify partial correlation information structures that allow for simpler reformulations in … programming reformulation which explicitly captures partially known correlation information between uncertain processing times of …

We consider the problem of portfolio optimization with a correlation constraint. The framework is the multi …-period stochastic financial market setting with one tradable stock, stochastic income, and a non-tradable index. The correlation … portofolio´s expected exponential utility subject to the correlation constraint. Two types of optimal portfolio strategies are …