Miguel A. Lejeune

An Exact Solution Approach for Portfolio Optimization Problems under Stochastic and Integer Constraints

  • Pierre Bonami
  • Miguel A. Lejeune
    • Categories (Mixed) Integer Nonlinear Programming, Finance and Economics, Stochastic Programming Tags , , ,

    In this paper, we study extensions of the classical Markowitz mean-variance portfolio optimization model. First, we consider that the expected asset returns are stochastic by introducing a probabilistic constraint which imposes that the expected return of the constructed portfolio must exceed a prescribed return threshold with a high confidence level. We study the deterministic equivalents … Read more

    MIP Reformulations of the Probabilistic Set Covering Problem

  • Vineet Goyal
  • Miguel A. Lejeune
  • Anureet Saxena
    • Categories 0-1 Programming, Cutting Plane Approaches, Stochastic Programming Tags , , ,

    In this paper we address the following probabilistic version (PSC) of the set covering problem: $min \{ cx \ |\ {\mathbb P} (Ax\ge \xi) \ge p,\ x_{j}\in \{0,1\}^N\}$ where $A$ is a 0-1 matrix, $\xi$ is a random 0-1 vector and $p\in (0,1]$ is the threshold probability level. We formulate (PSC) as a mixed integer … Read more

    Integer Programming Solution Approach for Inventory-Production-Distribution Problems with Direct Shipments

  • Miguel A. Lejeune
  • François Margot
    • Categories Branch and Cut Algorithms, Cutting Plane Approaches, Supply Chain Management Tags , , ,

    We construct an integrated multi-period inventory-production-distribution replenishment plan for three-stage supply chains. The supply chain maintains close-relationships with a small group of suppliers, and the nature of the products (bulk, chemical, etc.) makes it more economical to rely upon a direct shipment, full-truck load distribution policy between supply chain nodes. In this paper, we formulate … Read more

    Cover Inequalities for Binary-Integer Knapsack Constraints

  • Miguel A. Lejeune
  • Andrzej Ruszczyński
    • Categories (Mixed) Integer Linear Programming, Integer Programming Tags , , , ,

    We consider knapsack constraints involving one general integer and many binary variables. We introduce the concept of a cover for such a constraint and we construct a new family of valid inequalities based on this concept. We generalize this idea to extended covers, and we propose a specialized lifting procedure for cover inequalities. Finally, we … Read more