Dynamic Debt Optimization and Mean-Variance Investment Portfolio

This work is of two parts: First part, dynamic programming (DP) algorithms for debt management and distribution of goods. DP is one of the algorithms designed to obtain solution one after another. In this work, DP is tailored towards debt management and distribution of goods. Second part, mean-variance investment portfolio management. A mean-variance optimization is a quantitative method used to construct portfolios for the investors and to determine return for a given level of risks. This work provides theoretical, algorithms and applications of DP for debt management and distribution of goods as well as mean-variance portfolio management for investors. Five separate and distinct problems in our societies were considered in this work. They include modeling and application of DP techniques to debt management, distribution of goods with stochastic break down, mean-variance investment portfolio with deterministic, stochastic, and consumption processes for pension plan members. The models should be useful to professionals and researchers in the area of operations research, optimization, financial and investment portfolio managers and institutions.