Modern portfolio theory pioneered by Markowitz assumed that the market is efficient and
investors are rational and homogeneous, however investors may have different perception …

The paper is devoted to the stochastic optimistic bilevel optimization problem with quantile
criterion in the upper level problem. If the probability distribution is finite, the problem can be …

Modeling time varying volatility and correlation in financial time series is an important
element in derivative pricing, risk management and portfolio management. The main goal of …

We consider two-stage stochastic programming models with quantile criterion as well as
models with a probabilistic constraint on the random values of the objective function of the …

The paper is devoted to solving the two‐stage problem of stochastic programming with
quantile criterion. It is assumed that the loss function is bilinear in random parameters and …

The paper studies large scale mixed integer reformulation approach to stochastic
programming problems containing probability and quantile functions, under assumption of …

The paper studies a financial portfolio selection problem under 1st-order stochastic
dominance constraints. These constraints constitute lower bounds on the return profile of the …

How to manage the social security trust funds is a topic of wide interests both academically
and professionally. In the setting of portfolio selection with social security funds investment …

The paper extends stochastic branch and bound (SB&B) method, primarily developed for
solving stochastic global and integer stochastic programming problems, to stochastic …

This paper describes an empirical analysis of optimized portfolios and safe return rates
across multiple investment time horizons using Telser's Safety-First method. The analysis …