For many decision-making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or ...

We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...

Purdue faculty dedicate countless hours to exploring the frontiers of their respective fields, pushing the boundaries of knowledge and contributing to the ever-evolving landscape of academia. To ...

LyondellBasell Industries operated one of the largest refineries in the U.S.—located in Houston, Texas (U.S.), just off the ...

Depending on the size of the initial investment, transaction costs are an important consideration when it comes to smartly investing money and growing a portfolio for retirement. In addition, ...

Despite the global acceleration in digital transformations across organizations in various sectors, many banks and bigger ...

We construct duration-matched portfolios from the universe of the ICE BoA 0–2 Year AAA Euro Government Index (the “benchmark”), reweighted to optimize the portfolio Sherman ratio. We assess the ...