We optimize the asset allocation, consumption and bequest decisions of an investor with uncertain lifetime and under time-varying investment opportunities. The asset menu is given by stocks, zero coupon bonds and pure endowments with different maturities. The latter are contingent on either a...

We combine a dynamic programming approach (stochastic optimal control) with a multi-stage stochastic programming approach (MSP) in order to solve various problems in personal finance and pensions. Stochastic optimal control produces an optimal policy that is easy to understand and implement....

The paper investigates the importance of inflation-linked annuities to individuals facing inflation risk. Given the investment opportunities in nominal, real, and variable annuities, as well as cash and stocks, we investigate the consumption and investment decisions under two different objective...

Problem definition: Merchant commodity and energy production assets operate in markets with volatile prices and exchange rates. Plant closures adversely affect societal entities beyond the specific plant being shutdown such as the parent company and the local community. Motivated by an aluminum...

This article addresses the first-mile ride-sharing problem, which entails efficiently transporting passengers from a set of origins to a shared destination. Typical destinations are stations, central business districts, or hospitals. Successful optimization of this problem has the potential to...

Capacitated fixed-charge network design problems and generalizations, such as service network design problems, have a wide range of applications but are known to be very difficult to solve. Many exact and heuristic algorithms to solve these problems rely on column-and-row generation (CRG), which...

The traditional optimization of the layout of a wind farm consisted in arranging the wind turbines inside a designated area. In contrast, the 2021 tender from the UK government, Offshore Wind Leasing Round 4 ("UK Round-4") and upcoming bids only specify large regions where the wind farm can be...

We consider a real-world packing problem faced by a logistics company that loads and ships hundreds of trucks every day. For each shipment, the cargo has to be selected from a set of heterogeneous boxes. The goal of the resulting container loading problem (CLP) is to maximize the value of the...

The multi-commodity network flow problem (MCNF) consists in routing a set of commodities through a capacitated network at minimum cost and is relevant for routing containers in liner shipping networks. As commodity transit times are often a critical factor, the literature has introduced hard...

This book provides a full-scale presentation of all methods and techniques available for the solution of the Knapsack problem. This most basic combinatorial optimization problem appears explicitly or as a subproblem in a wide range of optimization models with backgrounds such diverse as cutting...