We propose a new methodology for discrete time dynamic hedging with transaction costs that has three key performance features. First, the methodology can accommodate the use of a wide range of objective functions, from the use of many types of utility functions to the more traditional objectives...

The paper considers modelling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the axiomatic foundation of coherent risk measures and deviation measures in order to develop simple representations that express risk measures via specially constructed...

We consider stochastic optimization problems involving stochastic dominance constraints of first order, also called stochastic ordering constraints. They are equivalent to a continuum of probabilistic constraints or chance constraints. We develop first order necessary and sufficient conditions...

The key role of technological change in the decline of energy and carbon intensities of aggregate economic activities is widely recognized. This has focused attention on the issue of developing endogenous models for the evolution of technological change. With a few exceptions this is done using...

Agriculture operates in an uncertain environment. Yields, prices, and resource usage can change dramatically from year to year. However, most analyses of the agricultural sector, at least those using mathematical programming methods, assume decision making is based on average yields, ignoring...

Material use of agricultural raw materials as renewable resources is gaining increasing importance in industrial production. Seasonal availability as well as variations in raw material quantity and quality and of market prices need to be considered in supply planning. This research depicts the...

As a consequence of recent market conditions an increasing number of investors are realizing the importance of controlling tail risk to reduce drawdowns thus increasing possibilities of achieving long-term objectives. Recently, so called volatility control strategies and volatility target...

In this study, a static single machine scheduling problem is investigated, where processing times are stochastic, due dates are deterministic and inserted idle time is allowed. Two objective functions are simultaneously taken into account, minimization of mean completion time and minimization of...

<Para ID="Par1">Data for optimization problems often comes from (deterministic) forecasts, but it is naïve to consider a forecast as the only future possibility. A more sophisticated approach uses data to generate alternative future scenarios, each with an attached probability. The basic idea is to estimate...</para>