Introducing a Relational Network DEA Model with Stochastic Intermediate measures for Portfolio Optimization

A Stochastic Optimization Model for Groundwater Management

A Stochastic Optimization Model for Groundwater Management

A Two-stage DEA Model Considering Shared Inputs, Free Intermediate Measures and Undesirable Outputs

Data envelopment analysis (DEA) has been proved to be an excellent approach for measuring the performance of decision-making units (DMUs) that use multiple inputs to generate multiple outputs. But the allocation problem of shared inputs and undesirable outputs does not arouse attention in this movement. This paper proposes a two-stage DEA model considering simultaneously the structure of shared...

An Inexact-Fuzzy-Stochastic Optimization Model for a Closed Loop Supply Chain Network Design Problem

The development of optimization and mathematical models for closed loop supply chain (CLSC) design has attracted considerable interest over the past decades. However, the uncertainties that are inherent in the network design and the complex interactions among various uncertain parameters are challenging the capabilities of the developed tools. The aim of this paper, therefore, is to propose a n...

A Stochastic Portfolio Optimization Model with Complete Memory

In this paper we consider a portfolio optimization problem of the Merton’s type with complete memory over a finite time horizon. The problem is formulated as a stochastic control problem on a finite time horizon and the state evolves according to a process governed by a stochastic process with memory. The goal is to choose investment and consumption controls such that the total expected discoun...

A Stochastic Portfolio Optimization Model with Bounded Memory

This paper considers a portfolio management problem of Merton’s type in which the risky asset return is related to the return history. The problem is modeled by a stochastic system with delay. The investor’s goal is to choose the investment control as well as the consumption control to maximize his total expected, discounted utility. Under certain situations, we derive the explicit solutions in...