Many service industries use revenue management to balance demand and capacity. The assumption of risk-neutrality lies at the heart of the classical approaches, which aim at maximizing expected revenue. In this paper, we give a comprehensive overview of the existing approaches, most of which were...

The method of variational inequalities is a useful theoretical tool in stochastic control, but there are few problems in which this method leads to an explicit solution. We present such a problem drawn from portfolio management. An agent can distribute his wealth between two investments, one...

In this contribution we propose a dynamic tracking error problem and we consider the problem of monitoring at discrete point the shortfall of the portfolio below a set of given reference levels of wealth. We formulate and solve the resulting dynamic optimization problem using stochastic...

A fast method based on coordinate-wise descent algorithms is developed to solve portfolio optimization problems in which asset weights are constrained by Lq norms for 1=q=2. The method is first applied to solve a minimum variance portfolio (mvp) optimization problem in which asset weights are...

We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called probability of drawdown, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its maximum value to date. We assume that the portfolio is...

We study the boundedness properties of the value function for a general worst-case scenario stochastic dynamic programming problem. For the portfolio selection problem,we present sufficient economically reasonable conditions for the finitness and uniform boundedness of the value function. The...