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- Publications
- Influence

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

- P. Bonami, M. Lejeune
- Mathematics, Computer Science
- Oper. Res.
- 1 May 2009

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… Expand

On characterizing the 4 C's in supply chain management

- M. Lejeune, Nevena Yakova
- Economics
- 2005

Abstract Supply chain management is a field at the confluence of many other disciplines; it has been studied under a number of perspectives, which has played a role for the crossbreeding of the… Expand

A variable neighborhood decomposition search method for supply chain management planning problems

- M. Lejeune
- Computer Science, Mathematics
- Eur. J. Oper. Res.
- 1 December 2006

Abstract Few models have been developed for the integrated planning and scheduling of the inventory, production and distribution functions. In this paper, we consider a three-stage supply chain, for… Expand

Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems

- M. Lejeune
- Mathematics, Computer Science
- Oper. Res.
- 1 November 2012

We propose a new modeling and solution method for probabilistically constrained optimization problems. The methodology is based on the integration of the stochastic programming and combinatorial… Expand

Construction of Risk-Averse Enhanced Index Funds

- M. Lejeune, Gülay Samatli-Paç
- Computer Science, Mathematics
- INFORMS J. Comput.
- 1 October 2013

We propose a partial replication strategy to construct risk-averse enhanced index funds. Our model takes into account the parameter estimation risk by defining the asset returns and the return… Expand

An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems

- M. Lejeune, A. Ruszczynski
- Mathematics, Computer Science
- Oper. Res.
- 1 March 2007

We consider a supply chain operating in an uncertain environment: The customers' demand is characterized by a discrete probability distribution. A probabilistic programming approach is adopted for… Expand

Public facility location using dispersion, population, and equity criteria

- R. Batta, M. Lejeune, S. Prasad
- Computer Science, Mathematics
- Eur. J. Oper. Res.
- 1 May 2014

From a practical perspective, the paper demonstrates that the appropriate use of dispersion, population, and equity criteria can lead to fairly good solutions with respect to the p-median objective.… Expand

A logical analysis of banks' financial strength ratings

- P. Hammer, A. Kogan, M. Lejeune
- Computer Science
- Expert Syst. Appl.
- 1 July 2012

We evaluate the creditworthiness of banks using statistical, as well as combinatorics-, optimization-, and logic-based methodologies. We reverse-engineer the Fitch risk ratings of banks using ordered… Expand

Pattern definition of the p-efficiency concept

- M. Lejeune
- Computer Science
- Ann. Oper. Res.
- 1 November 2012

This study revisits the celebrated p-efficiency concept introduced by Prékopa (Z. Oper. Res. 34:441–461, 1990) and defines a p-efficient point (pLEP) as a combinatorial pattern. The new definition… Expand

Multi-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization

- M. Lejeune, Siqian Shen
- Mathematics, Computer Science
- Eur. J. Oper. Res.
- 16 July 2016

We consider a class of multi-objective probabilistically constrained programs (MOPCP) with a joint probabilistic constraint and a variable risk level. We consider two cases with only a random… Expand