The classical dynamic programming-based optimal stochastic control methods fail to cope with nonseparable dynamic optimization problems as the principle of optimality no longer applies in such situations. Among these notorious nonseparable problems, the dynamic mean-variance portfolio selection...

We present in this paper an improved estimation of duality gap between binary quadratic program and its Lagrangian dual. More specifically, we obtain this improved estimation using a weighted distance measure between the binary set and certain affine subspace. We show that the optimal weights...

The mixed integer quadratic programming (MIQP) reformulation by Zheng, Sun, Li, and Cui (2012) for probabilistically constrained quadratic programs (PCQP) recently published in EJOR significantly dominates the standard MIQP formulation (Ruszczynski, 2002; Benati & Rizzi, 2007) which has been widely...

The mean-variance formulation by Markowitz in the 1950s paved a foundation for modern portfolio selection analysis in a single period. This paper considers an analytical optimal solution to the mean-variance formulation in multiperiod portfolio selection. Specifically, analytical optimal...

We develop in this paper a novel portfolio selection framework with a feature of double robustness in both return distribution modeling and portfolio optimization. While predicting the future return distributions always represents the most compelling challenge in investment, any underlying...

This paper investigates the issues of channel coordination in a supply chain when the individual supply chain decision makers take mean-variance (MV) objectives. We propose an MV formulation to capture the risk preference of each individual supply chain agent. Through the studies of a wholesale...

When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this paper, we propose a behavior risk aversion model, which is...