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ORCIDComputational Management Science, Volume 8
Volume 8, Numbers 1-2, April 2011
- Daniel Kuhn:
Preface. 1-2 - Leonard C. MacLean, Yonggan Zhao, William T. Ziemba:
Mean-variance versus expected utility in dynamic investment analysis. 3-22 - Kostas Triantafyllopoulos, Giovanni Montana:
Dynamic modeling of mean-reverting spreads for statistical arbitrage. 23-49 - Piergiacomo Sabino:
Implementing quasi-Monte Carlo simulations with linear transformations. 51-74 - Eduardo Faria, Stein-Erik Fleten
:
Day-ahead market bidding for a Nordic hydropower producer: taking the Elbas market into account. 75-101 - Peter Winker, Marianna Lyra, Chris Sharpe:
Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model. 103-123 - Marcellino Gaudenzi, Antonino Zanette:
Pricing cliquet options by tree methods. 125-135 - Willem K. Klein Haneveld, Matthijs H. Streutker, Maarten H. van der Vlerk:
Collective adjustment of pension rights in ALM models. 137-156 - Thiemo Krink, Sandra Paterlini:
Multiobjective optimization using differential evolution for real-world portfolio optimization. 157-179 - Michal Kaut, Stein W. Wallace:
Shape-based scenario generation using copulas. 181-199
Volume 8, Number 3, August 2011
- Masao Fukushima:
Restricted generalized Nash equilibria and controlled penalty algorithm. 201-218 - Stefania Corsaro, Pasquale L. De Angelis, Zelda Marino, Francesca Perla:
Participating life insurance policies: an accurate and efficient parallel software for COTS clusters. 219-236 - Erol Gelenbe, Peixiang Liu, Boleslaw K. Szymanski, Christopher Morrell:
Cognitive and self-selective routing for sensor networks. 237-258 - Konstantinos P. Anagnostopoulos, Georgios Mamanis:
Multiobjective evolutionary algorithms for complex portfolio optimization problems. 259-279 - Theodore B. Trafalis, Olutayo O. Oladunni, Michael B. Richman:
Linear classification tikhonov regularization knowledge-based support vector machine for tornado forecasting. 281-297 - Mustafa Ç. Pinar:
Gain-loss based convex risk limits in discrete-time trading. 299-321
Volume 8, Number 4, November 2011
- Jun-ya Gotoh, Akiko Takeda:
On the role of norm constraints in portfolio selection. 323 - Jean-Paul Watson, David L. Woodruff:
Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems. 355-370 - Mauro Piacentini, Francesco Rinaldi:
Path loss prediction in urban environment using learning machines and dimensionality reduction techniques. 371-385 - Ana Margarida Monteiro, Reha H. Tütüncü, Luís Nunes Vicente:
Estimation of risk-neutral density surfaces. 387-414 - Maher Maalouf, Theodore B. Trafalis, Indra Adrianto:
Kernel logistic regression using truncated Newton method. 415-428
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