Annals of Operations Research, Volume 45
Volume 45, Number 1, December 1993
- Richard S. Barr, Lawrence M. Seiford, Thomas F. Siems: An envelopment-analysis approach to measuring the managerial efficiency of banks. 1-19
- Mark Broadie: Computing efficient frontiers using estimated parameters. 21-58
- George B. Dantzig, Gerd Infanger: Multi-stage stochastic linear programs for portfolio optimization. 59-76
- John B. Guerard Jr., Makoto Takano, Yuji Yamane: The development of efficient portfolios in Japan with particular emphasis on sales and earnings forecasting. 91-108
- Masaaki Kijima, Masamitsu Ohnishi: Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities. 147-163
- Alan J. King: Asymmetric risk measures and tracking models for portfolio optimization under uncertainty. 165-177
- Kazuo Kishimoto: Another explanation for the bias observed in the filter rule test. 179-186
- Hiroshi Konno, Stanley R. Pliska, Ken-Ichi Suzuki: Optimal portfolios with asymptotic criteria. 187-204
- Hiroshi Konno, Hiroshi Shirakawa, Hiroaki Yamazaki: A mean-absolute deviation-skewness portfolio optimization model. 205-220
- Patrick S. Lee, Gautam Vora: A two-stage approach to multi-period allocation of savings among investment plans. 221-242
- Anlong Li: Optimal bank portfolio choice under fixed-rate deposit insurance. 243-264
- Yuming Li, William T. Ziemba: Univariate and multivariate measures of risk aversion and risk premiums. 265-296
- Martti Luoma, Teppo Martikainen, Jukka Perttunen: Thin trading and estimation of systematic risk: An application of an error-correction model. 297-305
- Harry M. Markowitz, Peter Todd, Ganlin Xu, Yuji Yamane: Computation of mean-semivariance efficient sets by the Critical Line Algorithm. 307-317
- Teppo Martikainen, Vesa Puttonen: Dynamic linkages between stock prices, accrual earnings and cash flows: a cointegration analysis. 319-332
- Munenori Nakasato, Koichi Furukawa: On the number of securities which constitute an efficient portfolio. 333-347
- Hiroshi Shirakawa, Hiromichi Kassai: Optimal consumption and arbitrage in incomplete, finite state security markets. 349-372
- Hitoshi Takehara: An interior point algorithm for large scale portfolio optimization. 373-386
- David Weeks, Suleiman K. Kassicieh: Using Kalman filter and finite difference techniques in default free bond pricing models. 405-431
- Stavros A. Zenios, Pan Kang: Mean-absolute deviation portfolio optimization for mortgage-backed securities. 433-450
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