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An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
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 aExpand
  • 156
  • 10
On characterizing the 4 C's in supply chain management
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 theExpand
  • 223
  • 10
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, forExpand
  • 59
  • 5
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 combinatorialExpand
  • 44
  • 4
Construction of Risk-Averse Enhanced Index Funds
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 returnExpand
  • 25
  • 4
An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems
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 forExpand
  • 73
  • 3
Public facility location using dispersion, population, and equity criteria
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
  • 33
  • 3
A logical analysis of banks' financial strength ratings
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 orderedExpand
  • 38
  • 3
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 definitionExpand
  • 28
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Multi-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization
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 randomExpand
  • 20
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