This paper considers a simultaneous maintenance and replacement problem under uncertainty. The effects of maintenance and deterioration are assumed to have a probabilistic effect (of the Markovian ...

We had our first taste of the problem with mean-variance optimization at a hedge fund some years back. We loaded the positions into an optimizer, pressed the button, and discovered 25% of the ...

With multiple additive risks, the mean–variance approach and the expected utility approach of risk preferences are compatible if all attainable distributions belong to the same location–scale family.

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...