… We suggest generalizations and improvements of Dert and Oldenkamp (1996) and focus
on the problem of determining an investment portfolio from a universe of assets that consist of …

… In mathematical terms our problem is to find x under the constraints Ax = b and x ⩾ 0. After
having made this decision, one of K possible scenarios might occur. Suppose that scenario k …

In a recent article-" Time diversification: Perspectives from option pricing theory"-Craig Merrill
and Steven Thorley used option pricing theory to provide objective evidence that longer …

In today’s world, managing a financial institution such as an insurance company or pension
plan requires great skills in dealing with uncertainty. By now, Management Boards have …

… In this paper, we suggest generalizations and improvements of Dert and Oldenkamp (1996)
and focus on the problem of determining an investment portfolio from a universe of assets …

We describe a class of new global optimization methods that has been designed to solve
large, partially separable problems. The methods have been motivated by the consideration of …

Identifying the conformations that a molecular cluster or polymer assumes in nature is an
important problem with many practical applications in biology and medicine. It is believed that …

Recent surveys indicate that many pension-fund participants aim for higher retirement income
security. We investigate the added value of including derivatives in the portfolio of pension …

… As an example of this approach we refer to [Dert and Oldenkamp, 19961, who investigate
a guaranteed return option portfolio which satisfies prespecified downside portfolio risk …

The problem of finding the configuration that a molecular cluster assumes in nature is an
important problem in the design and understanding of drugs, polymers, and other substances. …