• A branch-and-bound method for discretely-constrained mathematical programs with equilibrium constraints 

      Shim, Yohan; Fodstad, Marte; Gabriel, Steven; Tomasgard, Asgeir (Journal article; Peer reviewed, 2013)
      We present a branch-and-bound algorithm for discretely-constrained mathematical programs with equilibrium constraints (DC-MPEC). This is a class of bilevel programs with an integer program in the upper-level and a ...
    • Bounds in multi-horizon stochastic programs 

      Maggioni, Francesca; Allevi, Elisabetta; Tomasgard, Asgeir (Peer reviewed; Journal article, 2019)
      In this paper, we present bounds for multi-horizon stochastic optimization problems, a class of problems introduced in Kaut et al. (Comput Manag Sci 11:179–193, 2014) relevant in many industry-life applications typically ...
    • Can commodities dominate stock and bond portfolios? 

      Henriksen, Tom Erik Sønsteng; Pichler, Alois; Westgaard, Sjur; Frydenberg, Stein (Journal article; Peer reviewed, 2018)
      In this article we discuss whether commodities should be included as an asset class when establishing portfolios. By investigating second order stochastic dominance relations, we find that the stock and bond indices tend ...