This chapter reviews the principles of sample average approximation (SAA) for solving
simulation optimization problems. We provide an accessible overview of the area and …

Recent advances in simulation optimization research and explosive growth in computing
power have made it possible to optimize complex stochastic systems that are otherwise …

Portfolio optimization is one of the most important investment strategies in financial markets.
It is practically desirable for investors, especially high-frequency traders, to consider …

Recently, a new approach for optimization of Conditional Value-at-Risk (CVaR) was
suggested and tested with several applications. For continuous distributions, CVaR is …

Portfolio optimization involves the optimal assignment of limited capital to different available
financial assets to achieve a reasonable trade-off between profit and risk. We consider an …

This book is the first in the market to treat single-and multi-period risk measures (risk
functionals) in a thorough, comprehensive manner. It combines the treatment of properties of …

This paper addresses portfolio selection based on neurodynamic optimization. The portfolio
selection problem is formulated as a biconvex optimization problem with a variable weight in …

This paper investigates the portfolio diversification potential of a pool of cryptocurrencies
classified based on their degree of leadership. We employ the mean-variance and the …

Various applications in reliability and risk management give rise to optimization problems
with constraints involving random parameters, which are required to be satisfied with a …

Purpose This study aims to examine the theoretical foundations for multivariate portfolio
optimization algorithms under illiquid market conditions. In this study, special emphasis is …