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Content
December 2023, Volume 20, Issue 1
- 1-12 Why there is no need to use a big-M in linear bilevel optimization: a computational study of two ready-to-use approaches
by Thomas Kleinert & Martin Schmidt - 1-13 A topological approach for vector quasi-variational inequalities with set-valued functions
by Sonia & Ratna Dev Sarma - 1-14 Projected solutions for finite-dimensional quasiequilibrium problems
by Marco Castellani & Massimiliano Giuli & Sara Latini - 1-15 Modularity in planted partition model
by Mikhail Koshelev - 1-16 New criteria for existence of solutions for equilibrium problems
by Mircea Balaj & Marco Castellani & Massimiliano Giuli - 1-16 Approximate variational inequalities and equilibria
by Giancarlo Bigi & Lorenzo Lampariello & Simone Sagratella & Valerio Giuseppe Sasso - 1-17 Wasserstein barycenter regression for estimating the joint dynamics of renewable and fossil fuel energy indices
by Maria Elena Giuli & Alessandro Spelta - 1-17 Groundwater management and illegality in a differential-evolutionary framework
by Marta Biancardi & Gianluca Iannucci & Giovanni Villani - 1-18 Mathematical modeling for further improving task scheduling on Big Data systems
by Stavros Souravlas & Sofia Anastasiadou & Angelo Sifaleras - 1-19 Accelerated methods for weakly-quasi-convex optimization problems
by Sergey Guminov & Alexander Gasnikov & Ilya Kuruzov - 1-19 Competitive facility location under attrition
by Zvi Drezner & Dawit Zerom - 1-20 On quasidifferentiable mathematical programs with equilibrium constraints
by Vivek Laha & Harsh Narayan Singh - 1-22 Optimal allocation of demand response considering transmission system congestion
by Vinicius Neves Motta & Miguel F. Anjos & Michel Gendreau - 1-23 An ALNS-based matheuristic algorithm for a multi-product many-to-many maritime inventory routing problem
by Nooshin Heidari & Ahmad Hemmati - 1-23 A bilevel approach to ESG multi-portfolio selection
by Francesco Cesarone & Lorenzo Lampariello & Davide Merolla & Jacopo Maria Ricci & Simone Sagratella & Valerio Giuseppe Sasso - 1-23 On efficiency and the Jain’s fairness index in integer assignment problems
by Nahid Rezaeinia & Julio C. Góez & Mario Guajardo - 1-23 Optimization of mixture models on time series networks encoded by visibility graphs: an analysis of the US electricity market
by Carlo Mari & Cristiano Baldassari - 1-25 Investment disputes and their explicit role in option market uncertainty and overall risk instability
by Zdeněk Drábek & Miloš Kopa & Matúš Maciak & Michal Pešta & Sebastiano Vitali - 1-27 Multi-period power utility optimization under stock return predictability
by Taras Bodnar & Dmytro Ivasiuk & Nestor Parolya & Wolfgang Schmid - 1-27 Solving a maritime inventory routing problem under uncertainty using optimization and simulation
by Jørgen Bjaarstad Nikolaisen & Sofie Smith Vågen & Peter Schütz - 1-28 Using machine learning prediction models for quality control: a case study from the automotive industry
by Mohamed Kais Msakni & Anders Risan & Peter Schütz - 1-28 Ellipsoidal buffered area under the curve maximization model with variable selection in credit risk estimation
by Katsuhiro Tanaka & Rei Yamamoto - 1-28 A criterion space decomposition approach to generalized tri-objective tactical resource allocation
by Sunney Fotedar & Ann-Brith Strömberg & Torgny Almgren & Stefan Cedergren - 1-28 A theoretical validation of the DDMRP reorder policy
by Daniela Favaretto & Alessandro Marin & Marco Tolotti - 1-28 Simplifying capacity planning for electricity systems with hydroelectric and renewable generation
by Kenjiro Yagi & Ramteen Sioshansi - 1-30 A sustainable dynamic closed-loop supply chain network equilibrium for collectibles markets
by Georgia Fargetta & Laura R. M. Scrimali - 1-31 Enabling same-day delivery using a drone resupply model with transshipment points
by Mohammad Moshref-Javadi & Kristof P. Cauwenberghe & Brent A. McCunney & Ahmad Hemmati - 1-31 Robust selective maintenance optimization of series–parallel mission-critical systems subject to maintenance quality uncertainty
by Hamzea Al-Jabouri & Ahmed Saif & Claver Diallo - 1-31 Online decision making for trading wind energy
by Miguel Angel Muñoz & Pierre Pinson & Jalal Kazempour - 1-32 Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
by Alessandro Staino & Emilio Russo & Massimo Costabile & Arturo Leccadito - 1-32 Using Lagrangian relaxation to locate hydrogen production facilities under uncertain demand: a case study from Norway
by Šárka Štádlerová & Sanjay Dominik Jena & Peter Schütz - 1-32 Solving linear multiplicative programs via branch-and-bound: a computational experience
by R. Cambini & R. Riccardi & D. Scopelliti - 1-32 Complementarity formulation of games with random payoffs
by Rossana Riccardi & Giorgia Oggioni & Elisabetta Allevi & Abdel Lisser - 1-33 Problem-driven scenario clustering in stochastic optimization
by Julien Keutchayan & Janosch Ortmann & Walter Rei - 1-34 A fast Monte Carlo scheme for additive processes and option pricing
by Michele Azzone & Roberto Baviera - 1-34 Hedging longevity risk in defined contribution pension schemes
by Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang - 1-35 Flexible supply meets flexible demand: prosumer impact on strategic hydro operations
by Farzad Hassanzadeh Moghimi & Yihsu Chen & Afzal S. Siddiqui - 1-35 Norm constrained minimum variance portfolios with short selling
by Vrinda Dhingra & Shiv Kumar Gupta & Amita Sharma - 1-36 Impact of public news sentiment on stock market index return and volatility
by Gianluca Anese & Marco Corazza & Michele Costola & Loriana Pelizzon - 1-38 Adaptive evolutionary algorithms for portfolio selection problems
by Gianni Filograsso & Giacomo Tollo - 1-40 Renewable electricity capacity planning with uncertainty at multiple scales
by Michael C. Ferris & Andy Philpott - 1-42 Implied volatility smoothing at COVID-19 times
by Sebastiano Vitali & Miloš Kopa & Gabriele Giana - 1-43 Gradient-free methods for non-smooth convex stochastic optimization with heavy-tailed noise on convex compact
by Nikita Kornilov & Alexander Gasnikov & Pavel Dvurechensky & Darina Dvinskikh - 1-49 Evaluating the role of waste-to-energy and cogeneration units in district heatings and electricity markets
by Elisabetta Allevi & Maria Elena Giuli & Ruth Domínguez & Giorgia Oggioni
October 2022, Volume 19, Issue 4
- 539-565 An L-shaped method with strengthened lift-and-project cuts
by Pavlo Glushko & Csaba I. Fábián & Achim Koberstein - 567-604 American options and stochastic interest rates
by Anna Battauz & Francesco Rotondi - 605-626 Divide and conquer: the engineering of delegation
by Simona Settepanella & Gennaro Amendola & Luigi Marengo & Connor Minto - 627-664 Network manipulation algorithm based on inexact alternating minimization
by David Müller & Vladimir Shikhman - 665-681 Forecasting financial time series with Boltzmann entropy through neural networks
by Luca Grilli & Domenico Santoro - 683-701 An agricultural investment problem subject to probabilistic constraints
by Kawtar El Karfi & René Henrion & Driss Mentagui - 703-738 Insurance premium-based shortfall risk measure induced by cumulative prospect theory
by Sainan Zhang & Huifu Xu
July 2022, Volume 19, Issue 3
- 375-394 Multi-criteria supplier selection problem with fuzzy demand: a newsvendor model
by Omid Jadidi & Fatemeh Firouzi & John S. Loucks & Yong Shin Park - 395-423 Modeling and mitigating supply chain disruptions as a bilevel network flow problem
by René Y. Glogg & Anna Timonina-Farkas & Ralf W. Seifert - 425-455 A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
by Francesca Mariani & Gloria Polinesi & Maria Cristina Recchioni - 457-490 Kalman filter approach to real options with active learning
by Sebastian Sund & Lars H. Sendstad & Jacco J. J. Thijssen - 491-512 Quantum game approach for capacity allocation decisions under strategic reasoning
by Masih Fadaki & Babak Abbasi & Prem Chhetri - 513-537 Accuracy and fairness trade-offs in machine learning: a stochastic multi-objective approach
by Suyun Liu & Luis Nunes Vicente
June 2022, Volume 19, Issue 2
- 159-197 A comprehensive study of domain-specific emoji meanings in sentiment classification
by Nader Mahmoudi & Łukasz P. Olech & Paul Docherty - 199-226 Parallel and distributed computing for stochastic dual dynamic programming
by D. Ávila & A. Papavasiliou & N. Löhndorf - 227-228 Correction to: Parallel and distributed computing for stochastic dual dynamic programming
by D. Ávila & A. Papavasiliou & N. Löhndorf - 229-268 Welfare and research and development incentive effects of uniform and differential pricing schemes
by Giorgio Gnecco & Fabio Pammolli & Berna Tuncay - 269-293 The nested Sinkhorn divergence to learn the nested distance
by Alois Pichler & Michael Weinhardt - 295-307 A Stackelberg game for the Italian tax evasion problem
by Gianfranco Gambarelli & Daniele Gervasio & Francesca Maggioni & Daniel Faccini - 309-346 The spot and balancing markets for electricity: open- and closed-loop equilibrium models
by Trine Krogh Boomsma & Salvador Pineda & Ditte Mølgård Heide-Jørgensen - 347-373 ESG score prediction through random forest algorithm
by Valeria D’Amato & Rita D’Ecclesia & Susanna Levantesi
January 2022, Volume 19, Issue 1
- 1-23 Computing nonperforming loan prices in banking efficiency analysis
by Elisa Fusco & Bernardo Maggi - 25-39 Black’s model in a negative interest rate environment, with application to OTC derivatives
by Riccardo Bramante & Gimmi Dallago & Silvia Facchinetti - 41-64 Constructing banking networks under decreasing costs of link formation
by Dietmar Maringer & Ben Craig & Sandra Paterlini - 65-98 Predictive stochastic programming
by Yunxiao Deng & Suvrajeet Sen - 99-132 Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process
by Massimiliano Frezza & Sergio Bianchi & Augusto Pianese - 133-157 Non-tradability interval for heterogeneous rational players in the option markets
by Yossi Shvimer & Avi Herbon
October 2021, Volume 18, Issue 4
- 431-453 A diversified AHP-tree approach for multiple-criteria supplier selection
by Toly Chen - 455-475 Multilevel multi-leader multiple-follower games with nonseparable objectives and shared constraints
by Addis Belete Zewde & Semu Mitiku Kassa - 477-504 The relative efficiency of option hedging strategies using the third-order stochastic dominance
by Margareta Gardijan Kedžo & Boško Šego - 505-538 Coordination of power and natural gas markets via financial instruments
by Anna Schwele & Christos Ordoudis & Pierre Pinson & Jalal Kazempour - 539-561 Implicit incentives for fund managers with partial information
by Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi - 563-589 Numerical estimates of risk factors contingent on credit ratings
by T. Gärtner & S. Kaniovski & Y. Kaniovski
July 2021, Volume 18, Issue 3
- 265-265 Recent advances in applied optimization under uncertainty
by Stein-Erik Fleten & Rüdiger Schultz - 267-297 Stochastic single machine scheduling problem as a multi-stage dynamic random decision process
by Mina Roohnavazfar & Daniele Manerba & Lohic Fotio Tiotsop & Seyed Hamid Reza Pasandideh & Roberto Tadei - 299-324 Quantile-based optimal portfolio selection
by Taras Bodnar & Mathias Lindholm & Erik Thorsén & Joanna Tyrcha - 325-354 A node formulation for multistage stochastic programs with endogenous uncertainty
by Giovanni Pantuso - 355-383 Quantile– based portfolios: post– model– selection estimation with alternative specifications
by Giovanni Bonaccolto - 385-410 A hybrid dynamic programming - Tabu Search approach for the long-term hydropower scheduling problem
by Yves Mbeutcha & Michel Gendreau & Gregory Emiel - 411-429 Scenario generation by selection from historical data
by Michal Kaut
June 2021, Volume 18, Issue 2
- 125-148 Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments
by Michelle Bandarra & Vincent Guigues - 149-176 On the application of Wishart process to the pricing of equity derivatives: the multi-asset case
by Gaetano Bua & Daniele Marazzina - 177-193 Some new perspectives for solving 0–1 integer programming problems using Balas method
by J. Glover & V. Quan & S. Zolfaghari - 195-212 Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns
by Songkomkrit Chaiyakan & Phantipa Thipwiwatpotjana - 213-237 Catastrophic risks and the pricing of catastrophe equity put options
by Massimo Arnone & Michele Leonardo Bianchi & Anna Grazia Quaranta & Gian Luca Tassinari - 239-263 Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
by Luca Vincenzo Ballestra
January 2021, Volume 18, Issue 1
- 1-23 Empirically assessing noisy necessary conditions with activation functions
by Wolfgang Messner - 25-47 Directional approach to gradual cover: the continuous case
by Tammy Drezner & Zvi Drezner & Pawel Kalczynski - 49-71 A new approximation approach to optimality and duality for a class of nonconvex differentiable vector optimization problems
by Tadeusz Antczak - 73-97 How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
by Januj Amar Juneja - 99-124 Can restrictions on redemption timing boost profitability of loyalty programs in competitive environments?
by Amirhossein Bazargan & Salma Karray & Saeed Zolfaghari
December 2020, Volume 17, Issue 4
- 493-494 AI, Machine Learning and sentiment analysis applied to financial markets and consumer markets
by Enza Messina & Christina Erlwein-Sayer & Gautam Mitra - 495-515 Hyperparameter optimization for recommender systems through Bayesian optimization
by B. G. Galuzzi & I. Giordani & A. Candelieri & R. Perego & F. Archetti - 517-547 A recommender system for active stock selection
by Giuliano Rossi & Jakub Kolodziej & Gurvinder Brar - 549-567 Risk attribution and interconnectedness in the EU via CDS data
by R. Giacometti & G. Torri & G. Farina & M. E. Giuli - 569-583 A missing value approach to social network data: “Dislike” or “Nothing”?
by Paolo Mariani & Andrea Marletta & Mauro Mussini & Mariangela Zenga & Erika Grammatica - 585-611 Including news data in forecasting macro economic performance of China
by Asger Lunde & Miha Torkar - 613-640 Dynamic portfolio allocation in goals-based wealth management
by Sanjiv R. Das & Daniel Ostrov & Anand Radhakrishnan & Deep Srivastav
October 2020, Volume 17, Issue 3
- 357-385 Distributionally robust optimization with multiple time scales: valuation of a thermal power plant
by Wim Ackooij & Debora Daniela Escobar & Martin Glanzer & Georg Ch. Pflug - 387-387 Correction to: Distributionally robust optimization with multiple time scales: valuation of a thermal power plant
by Wim Ackooij & Debora Daniela Escobar & Martin Glanzer & Georg Ch. Pflug - 389-407 An exact and a heuristic approach for the transportation-p-facility location problem
by Soumen Kumar Das & Sankar Kumar Roy & Gerhard Wilhelm Weber - 409-436 Optimization techniques for tree-structured nonlinear problems
by Jens Hübner & Martin Schmidt & Marc C. Steinbach - 437-464 Tropical optimization technique in bi-objective project scheduling under temporal constraints
by Nikolai Krivulin - 465-492 The Black–Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
by Erindi Allaj
June 2020, Volume 17, Issue 2
- 161-162 Editorial
by Stein-Erik Fleten & Florentina Paraschiv - 163-178 Computing credit valuation adjustment solving coupled PIDEs in the Bates model
by Ludovic Goudenège & Andrea Molent & Antonino Zanette - 179-201 Asset allocation under predictability and parameter uncertainty using LASSO
by Andrea Rigamonti & Alex Weissensteiner - 203-240 Portfolio stress testing applied to commodity futures
by Florentina Paraschiv & Stine Marie Reese & Margrethe Ringkjøb Skjelstad - 241-275 Evaluation of scenario reduction algorithms with nested distance
by Markéta Horejšová & Sebastiano Vitali & Miloš Kopa & Vittorio Moriggia - 277-307 Scenario tree construction driven by heuristic solutions of the optimization problem
by Vit Prochazka & Stein W. Wallace - 309-326 Modeling flexible generator operating regions via chance-constrained stochastic unit commitment
by Bismark Singh & Bernard Knueven & Jean-Paul Watson - 327-355 Optimal inventory policy through dual sourcing
by Matthew Davison & Yuri Lawryshyn & Volodymyr Miklyukh
January 2020, Volume 17, Issue 1
- 1-21 Using the generalized maximum covering location model to control a project’s progress
by Narjes Sabeghi & Hamed Reza Tareghian - 23-45 Customer satisfaction: a mathematical framework for its analysis and its measurement
by R. Ferrentino & C. Boniello - 47-64 Modelling an energy market with Bayesian networks for non-normal data
by Vincenzina Vitale & Flaminia Musella & Paola Vicard & Valentina Guizzi - 65-77 An approximation to max min fairness in multi commodity networks
by Hamoud S. Bin Obaid & Theodore B. Trafalis - 79-104 Using tropical optimization techniques in bi-criteria decision problems
by Nikolai Krivulin - 105-119 The Skew Normal multivariate risk measurement framework
by Mauro Bernardi & Roy Cerqueti & Arsen Palestini - 121-139 Directional approach to gradual cover: a maximin objective
by Tammy Drezner & Zvi Drezner & Pawel Kalczynski - 141-160 Progressive hedging for stochastic programs with cross-scenario inequality constraints
by Ellen Krohn Aasgård & Hans Ivar Skjelbred
October 2019, Volume 16, Issue 4
- 541-543 Uncertainty, economics and optimization: recent developments
by Walter J. Gutjahr & Alois Pichler - 545-576 The decision rule approach to optimization under uncertainty: methodology and applications
by Angelos Georghiou & Daniel Kuhn & Wolfram Wiesemann - 577-592 B&B method for discrete partial order optimization
by Vladimir I. Norkin - 593-619 Notoriously hard (mixed-)binary QPs: empirical evidence on new completely positive approaches
by Immanuel M. Bomze & Jianqiang Cheng & Peter J. C. Dickinson & Abdel Lisser & Jia Liu - 621-649 Exploring the dynamics of business survey data using Markov models
by W. Hölzl & S. Kaniovski & Y. Kaniovski - 651-669 Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
by Stefan Hochrainer-Stigler & Juraj Balkovič & Kadri Silm & Anna Timonina-Farkas - 671-696 Arbitrage conditions for electricity markets with production and storage
by Raimund M. Kovacevic - 697-714 Robustness analysis of generalized Jackson network
by Joost Berkhout & Bernd Heidergott & Jennifer Sommer & Hans Daduna - 715-738 A simultaneous perturbation weak derivative estimator for stochastic neural networks
by Thomas Flynn & Felisa Vázquez-Abad - 739-758 The value of the right distribution in stochastic programming with application to a Newsvendor problem
by Francesca Maggioni & Matteo Cagnolari & Luca Bertazzi
July 2019, Volume 16, Issue 3
- 371-374 Data-driven optimization in management
by Giorgio Consigli & Anton Kleywegt - 375-400 Sparse precision matrices for minimum variance portfolios
by Gabriele Torri & Rosella Giacometti & Sandra Paterlini - 401-432 Un-diversifying during crises: Is it a good idea?
by Margherita Giuzio & Sandra Paterlini - 433-479 Volatility versus downside risk: performance protection in dynamic portfolio strategies
by Diana Barro & Elio Canestrelli & Giorgio Consigli - 481-499 The wait-and-judge scenario approach applied to antenna array design
by Algo Carè & Simone Garatti & Marco C. Campi - 501-519 Optimized operating rules for short-term hydropower planning in a stochastic environment
by Alexia Marchand & Michel Gendreau & Marko Blais & Jonathan Guidi - 521-540 Observational data-based quality assessment of scenario generation for stochastic programs
by Didem Sarı Ay & Sarah M. Ryan
February 2019, Volume 16, Issue 1
- 1-2 14th International Conference on Computational Management Science
by Rosella Giacometti & Berç Rustem - 3-16 Blocks of coordinates, stochastic programming, and markets
by Sjur Didrik Flåm - 17-46 Multistage portfolio optimization with multivariate dominance constraints
by Barbora Petrová - 47-69 Optimal strategies with option compensation under mean reverting returns or volatilities
by Stefano Herzel & Marco Nicolosi - 71-95 Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
by Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji - 97-127 Timing portfolio strategies with exponential Lévy processes
by Sergio Ortobelli Lozza & Enrico Angelelli & Alda Ndoci - 129-154 Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
by Giorgio Consigli & Asmerilda Hitaj & Elisa Mastrogiacomo - 155-185 Identifying systemically important financial institutions: a network approach
by Pablo Rovira Kaltwasser & Alessandro Spelta - 187-215 Tempered stable process, first passage time, and path-dependent option pricing
by Young Shin Kim - 217-248 Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models
by Ludovic Goudenege & Andrea Molent & Antonino Zanette - 249-274 European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions
by Martina Nardon & Paolo Pianca - 275-295 Calibration of one-factor and two-factor Hull–White models using swaptions
by Vincenzo Russo & Gabriele Torri - 297-327 Simulation and evaluation of the distribution of interest rate risk
by Johan Hagenbjörk & Jörgen Blomvall - 329-343 Big data analytics: an aid to detection of non-technical losses in power utilities
by Giovanni Micheli & Emiliano Soda & Maria Teresa Vespucci & Marco Gobbi & Alessandro Bertani - 345-369 On the construction of hourly price forward curves for electricity prices
by Rüdiger Kiesel & Florentina Paraschiv & Audun Sætherø
October 2018, Volume 15, Issue 3
- 319-323 The stochastic programming heritage of Maarten van der Vlerk
by David P. Morton & Ward Romeijnders & Rüdiger Schultz & Leen Stougie - 325-349 Higher-order total variation bounds for expectations of periodic functions and simple integer recourse approximations
by Niels Laan & Ward Romeijnders & Maarten H. Vlerk - 351-367 Distributionally robust simple integer recourse
by Weijun Xie & Shabbir Ahmed - 369-395 Decision-dependent probabilities in stochastic programs with recourse
by Lars Hellemo & Paul I. Barton & Asgeir Tomasgard - 397-410 Stochastic programs with binary distributions: structural properties of scenario trees and algorithms
by Vit Prochazka & Stein W. Wallace - 411-429 Strong convexity in risk-averse stochastic programs with complete recourse
by Matthias Claus & Rüdiger Schultz & Kai Spürkel - 431-454 Distributionally robust SDDP
by A. B. Philpott & V. L. Matos & L. Kapelevich - 455-477 New solution approaches for the maximum-reliability stochastic network interdiction problem
by Eli Towle & James Luedtke - 479-500 On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
by Laureano F. Escudero & Juan F. Monge - 501-540 A Progressive Hedging based branch-and-bound algorithm for mixed-integer stochastic programs
by Semih Atakan & Suvrajeet Sen - 541-561 A systematic approach for examining the impact of calibration uncertainty in disease modeling
by Jing Voon Chen & Julia L. Higle & Michael Hintlian - 563-582 An adaptive model with joint chance constraints for a hybrid wind-conventional generator system
by Bismark Singh & David P. Morton & Surya Santoso - 583-597 A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting
by Miguel A. Lejeune & Janne Kettunen - 599-632 Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
by Giorgio Consigli & Vittorio Moriggia & Sebastiano Vitali & Lorenzo Mercuri
June 2018, Volume 15, Issue 2
- 135-137 Twenty-five years of applied mathematical programming and modelling
by Christina Erlwein-Sayer & Ronald Hochreiter - 139-159 Portfolio selection under supply chain predictability
by Thomas Trier Bjerring & Kourosh Marjani Rasmussen & Alex Weissensteiner - 161-186 Approximation for portfolio optimization in a financial market with shot-noise jumps
by Oleksandra Putyatina & Jörn Sass - 187-211 ALM models based on second order stochastic dominance
by Maram Alwohaibi & Diana Roman - 213-237 Computation of the Delta of European options under stochastic volatility models
by Yeliz Yolcu-Okur & Tilman Sayer & Bilgi Yilmaz & B. Alper Inkaya - 239-258 Modeling and implementation of local volatility surfaces in Bayesian framework
by Abdulwahab Animoku & Ömür Uğur & Yeliz Yolcu-Okur - 259-296 Putting a price tag on temperature
by Heng Xiong & Rogemar Mamon - 297-317 Determination and estimation of risk aversion coefficients
by Taras Bodnar & Yarema Okhrin & Valdemar Vitlinskyy & Taras Zabolotskyy
January 2018, Volume 15, Issue 1
- 1-32 Asset allocation strategies based on penalized quantile regression
by Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini - 33-53 The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market
by Paolo Barucca & Fabrizio Lillo - 55-86 A successive linear programming algorithm with non-linear time series for the reservoir management problem
by Charles Gauvin & Erick Delage & Michel Gendreau - 87-110 Stochastic dynamic programming approach to managing power system uncertainty with distributed storage
by Luckny Zéphyr & C. Lindsay Anderson - 111-134 A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming
by Guanglin Xu & Samuel Burer
October 2017, Volume 14, Issue 4
- 461-463 Special issue on the 13th international conference on computational management science
by A. Alonso-Ayuso & F. Maggioni - 465-491 Chebyshev reduced basis function applied to option valuation
by Javier Frutos & Víctor Gatón - 493-518 Using tropical optimization to solve constrained minimax single-facility location problems with rectilinear distance
by Nikolai Krivulin - 519-533 A discrete optimality system for an optimal harvesting problem
by Hacer Öz Bakan & Fikriye Yılmaz & Gerhard-Wilhelm Weber - 535-557 On the impact of conditional expectation estimators in portfolio theory
by Sergio Ortobelli & Noureddine Kouaissah & Tomáš Tichý - 559-583 Implied volatility and state price density estimation: arbitrage analysis
by Miloš Kopa & Sebastiano Vitali & Tomáš Tichý & Radek Hendrych - 585-610 Centered solutions for uncertain linear equations
by Jianzhe Zhen & Dick Hertog
July 2017, Volume 14, Issue 3
- 297-312 Pricing catastrophe bonds with multistage stochastic programming
by Nick Georgiopoulos - 313-331 Fast binomial procedures for pricing Parisian/ParAsian options
by Marcellino Gaudenzi & Antonino Zanette - 333-365 Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
by Julien Keutchayan & Michel Gendreau & Antoine Saucier - 367-391 Regularised gradient boosting for financial time-series modelling
by Alexandros Agapitos & Anthony Brabazon & Michael O’Neill - 393-421 Regularized decomposition of large scale block-structured robust optimization problems
by Wim Ackooij & Nicolas Lebbe & Jérôme Malick - 423-441 Optimal trial duration times for multiple change points products lifetime distributions
by Rachele Foschi - 443-460 A joint model of probabilistic/robust constraints for gas transport management in stationary networks
by T. González Grandón & H. Heitsch & R. Henrion
April 2017, Volume 14, Issue 2
- 179-196 Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels
by Pedro Correia S. Bezerra & Pedro Henrique M. Albuquerque - 197-213 A comparison between the robust risk-aware and risk-seeking managers in R&D portfolio management
by Shuyi Wang & Aurélie Thiele