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ORCIDAnnals of Operations Research, Volume 281
Volume 281, Numbers 1-2, October 2019
- Farid AitSahlia, Giovanni Barone-Adesi, Ephraim Clark, Jean-Luc Prigent:
Preface: decision making and risk/return optimization in financial economics. 1-2 - Ilyes Abid, Stéphane Goutte, Farid Mkaouar, Khaled Guesmi:
Optimal strategy between extraction and storage of crude oil. 3-26 - Zeineb Affes, Rania Hentati-Kaffel
:
Forecast bankruptcy using a blend of clustering and MARS model: case of US banks. 27-64 - Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Philippe Bertrand, Jean-Luc Prigent:
Mixed-asset portfolio allocation under mean-reverting asset returns. 65-98 - Mohamed A. Ayadi, Hatem Ben-Ameur, Nabil Channouf, Quang Khoi Tran:
NORTA for portfolio credit risk. 99-119 - Yacine Belghitar, Ephraim Clark, Konstantinos Kassimatis:
A measure of total firm performance: new insights for the corporate objective. 121-141 - Mondher Bellalah, Detao Zhang:
An intertemporal capital asset pricing model under incomplete information and short sales. 143-159 - Makram Bellalah, Fredj Amine Dammak:
International capital asset pricing model: the case of asymmetric information and short-sale. 161-173 - Jow-Ran Chang, Wei-Han Liu, Mao-Wei Hung:
Revisiting generalized almost stochastic dominance. 175-192 - Marcos Escobar, Paul Kriebel, Markus Wahl, Rudi Zagst:
Portfolio optimization under Solvency II. 193-227 - Tristan Guillaume:
On the multidimensional Black-Scholes partial differential equation. 229-251 - Yingyi Hu:
Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market. 253-274 - Fredj Jawadi, Waël Louhichi, Abdoulkarim Idi Cheffou, Hachmi Ben Ameur:
Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model. 275-295 - Ahmet Sensoy, Duc Khuong Nguyen, Ahmed Rostom, Erk Hacihasanoglu:
Dynamic integration and network structure of the EMU sovereign bond markets. 297-314 - Edward W. Sun, Timm Kruse, Yi-Ting Chen:
Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity. 315-347 - Javier Vidal-García, Marta Vidal, Sabri Boubaker, Riadh Manita:
Idiosyncratic risk and mutual fund performance. 349-372 - Bangzhu Zhu, Shunxin Ye, Kaijian He, Julien Chevallier, Rui Xie:
Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach. 373-395 - Mondher Bellalah, Yaosheng Xu, Detao Zhang:
Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales. 397-422 - Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Didier Maillard:
Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to VaR and CVaR. 423-453
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