Miguel LEJEUNE Reasearch Working Papers Stochastic Portfolio Optimization

Data

Supply Chain Instances. Source: M.A. Lejeune, F. Margot. 2008. Integer Programming Solution Approach for Inventory-Production-Distribution Problems with Direct Shipments.International Transactions in Operational Research 15, 259-281. Instances used in the paper: bi-sc.tar.gz
Stochastic Instances - Chance-Constrained Quadratic Problems. Source: M.A. Lejeune, F. Margot. 2016. Solving Chance-Constrained Optimization Problems with Stochastic Quadratic Inequalities. Operations Research 64 (4), 939-957. Instances used in this paper: ccFacLoc.tar.gz
Disaster Management Data - Cholera Epidemic in Haiti. Source: A. Anparasan, M.A. Lejeune. 2017. Data Laboratory for Supply Chain Response Models During Epidemic Outbreaks. Working Paper. Data presented in this paper: Data-Cholera-Haiti-Anparasan-Lejeune.xls

About

MIGUEL LEJEUNE
Professor of Decision Sciences (GWSB)
Professor of Electrical and Computer Engineering (SEAS)
The George Washington University
2201 G Street, NW
Office: 415, Funger Hall
Washington, DC 20052

Phone: (202)-994-6576

Some Recent Publications

Distributionally Robust Optimization under Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics. INFORMS Journal on Computing. 34 (2), 729-751, 2022. With N. Noyan, G. Rudolf.
Data-Driven Project Portfolio Selection: Decision-Dependent Stochastic Programming Formulations with Reliability and Time to Market Requirements. Computers & Operations Research. Accepted. With J. Kettunen.
Distributionally Robust Portfolio Optimization with Linearized STARR Performance Measure. Quantitative Finance. Accepted. With R. Ji, Z. Fan.
Mobility-As-A-Service for Resilience Delivery in Power Distribution Systems. Production and Operations Management 30 (8), 2492-2521, 2021. With D. Anokhin, P. Dehghanian, J. Su.
Spatiotemporal Data Set of Out-of-Hospital Cardiac Arrests. INFORMS Journal on Computing 34 (1), 4-10, 2022. With J. Custodio.
Data-Driven Distributionally Robust Chance-Constrained Optimization with Wasserstein Metric. Journal of Global Optimization 79, 779-811, 2021. With R. Ji.
A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs. INFORMS Journal on Computing 33 (3), 1015–1036, 2021. With R. Karimi, J. Cheng.
Data-Driven Optimization of Reward-Risk Ratio Measures. INFORMS Journal on Computing 33 (3), 1120–1137, 2021. With R. Ji.
Waterfall and Agile Product Development Approaches: Disjunctive Stochastic Programming Formulations. Operations Research 68 (5), 1356-1363, 2020. With J. Kettunen.
Relaxations for Probabilistically Constrained Stochastic Programming Problems: Review and Extensions. Annals of Operations Research. Accepted, 2021. With A. Prekopa.
Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. Management Science 66 (8), 3735-3753, 2020. With S. Chun.
Optimal Power Flow (OPF) Models with Probabilistic Guarantees: A Boolean Approach. IEEE Power and Energy Society Letters 35 (6), 4932-4935, 2020. With P. Dehghanian.
Distributionally Robust Optimization AUC Support Vector Machine Models. Operations Research Letters 48 (4): 460-466, 2020. With W. Ma.
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