<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>

The recent crisis made it evident that replicating the performance of a benchmark is not a sufficient goal to meet the expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside protection when the benchmark performs poorly and...

Purpose The purpose of this paper is to investigate the economic feasibility of a three-echelon Halal Meat Supply Chain (HMSC) network that is monitored by a proposed radio frequency identification (RFID)-based management system for enhancing the integrity traceability of Halal meat products and...

This paper proposes a Stochastic Programming (SP) approach for the calculation of the liquidity-adjusted Value-at-Risk (LVaR). The model presented in this paper offers an alternative to Almgren and Chriss’s mean-variance approach (1999 and 2000). In this research, a two-stage stochastic...

Purpose – The purpose of this paper is to discuss and to help address the need for quantitative models to support and improve procurement in the context of humanitarian relief efforts. Design/methodology/approach – This research presents a two‐stage stochastic decision model with recourse...

Purpose – This paper aims to use a risk management approach for re-profiling of sovereign debt. It develops profiles that trade off expected cost of financing alternative debt structures against their risk. The risk profiles are particularly informative for countries facing sovereign debt...