Some important conceptual problems concerning the application of chance constrained programming (CCP) to risky practical decision problems are discussed by comparing CCP to stochastic programming with ...

This study develops a new use of data envelopment analysis for estimating a stochastic frontier cost function that is assumed to have two different error components ...

We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to ...