A two-stage stochastic optimization model for the Bike sharing allocation and rebalancing problem

The Bikesharing allocation and rebalancing problem is the problem of determining the initial daily allocation of bikes to stations in a bikesharing system composed of one depot and multiple capacitated stations, in which bikes can be rebalanced at a point in time later in the day. We propose a two-stage stochastic programming formulation, where the … Read more

Rebalancing an Investment Portfolio in the Presence of Transaction Costs

The inclusion of transaction costs is an essential element of any realistic portfolio optimization. In this paper, we consider an extension of the standard portfolio problem in which transaction costs are incurred to rebalance an investment portfolio. The Markowitz framework of mean-variance efficiency is used with costs modelled as a percentage of the value transacted. … Read more