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ORCIDAnnals of Operations Research, Volume 152
Volume 152, Number 1, July 2007
- Hercules Vladimirou:
Preface. 1-4 - Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath, Hyejin Ku
:
Coherent multiperiod risk adjusted values and Bellman's principle. 5-22 - Ben De Prisco, Ian Iscoe, Alexander Y. Kreinin, Ahmed Nagi:
A semi-analytical method for VaR and credit exposure analysis. 23-47 - David Saunders, Costas Xiouros, Stavros A. Zenios:
Credit risk optimization using factor models. 49-77 - Stijn Claessens, Jerome Kreuser:
Strategic foreign reserves risk management: Analytical framework. 79-113 - Petri Hilli, Matti Koivu, Teemu Pennanen, Antero Ranne:
A stochastic programming model for asset liability management of a Finnish pension company. 115-139 - Paolo Battocchio, Francesco Menoncin, Olivier Scaillet:
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases. 141-165 - Andrea Consiglio, Flavio Cocco, Stavros A. Zenios:
Scenario optimization asset and liability modelling for individual investors. 167-191 - Pavlo A. Krokhmal, Stan Uryasev:
A sample-path approach to optimal position liquidation. 193-225 - Renata Mansini, Wlodzimierz Ogryczak, Maria Grazia Speranza:
Conditional value at risk and related linear programming models for portfolio optimization. 227-256 - Ronald Hochreiter, Georg Ch. Pflug:
Financial scenario generation for stochastic multi-stage decision processes as facility location problems. 257-272 - Rafael Lazimy:
Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis. 273-295 - Ralph E. Steuer, Yue Qi, Markus Hirschberger:
Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection. 297-317 - Jacek Gondzio, Andreas Grothey:
Parallel interior-point solver for structured quadratic programs: Application to financial planning problems. 319-339 - Miguel Sousa Lobo, Maryam Fazel, Stephen P. Boyd:
Portfolio optimization with linear and fixed transaction costs. 341-365 - N. C. P. Edirisinghe, E. I. Patterson:
Multi-period stochastic portfolio optimization: Block-separable decomposition. 367-394 - Laureano F. Escudero, María Araceli Garín, María Merino, Gloria Pérez:
A two-stage stochastic integer programming approach as a mixture of Branch-and-Fix Coordination and Benders Decomposition schemes. 395-420
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