Many industries use dynamic pricing on an operational level to maximize revenue from selling a fixed capacity over a finite horizon. Classical risk-neutral approaches do not accommodate the risk aversion often encountered in practice. We add to the scarce literature on risk aversion by...

The NP-hard nature of cardinality constrained mean-variance portfolio optimization problems has led to a variety of different algorithms with varying degrees of success in reaching optimality given limited computational resources and under the presence of strict time constraints in practice. The...

This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four-dimensional space using L-moments, and...

We formulate a distributionally robust optimization problem where the deviation of the alternative distribution is controlled by a φ-divergence penalty in the objective, and show that a large class of these problems are essentially equivalent to a mean-variance problem. We also show that while...

Investors interested in the global financial market have to analyze financial securities internationally. The optimal global investment decision involves processing a huge amount of data for a high-dimensional portfolio. This paper investigates the big data challenges of two mean-variance...

Due to the advancement of Information Technology it has been easier for investors to invest valuable money in portfolios. There has been availability of tools & data all the time to predict the market in decision-making, for which some models have been developed. With the rigorous research in...