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Computational Management Science, Volume 8

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Volume 8, Numbers 1-2, April 2011

Special Issue: Computational Finance

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Daniel Kuhn:
Preface. 1-2
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Leonard C. MacLean, Yonggan Zhao, William T. Ziemba:
Mean-variance versus expected utility in dynamic investment analysis. 3-22
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Kostas Triantafyllopoulos, Giovanni Montana:
Dynamic modeling of mean-reverting spreads for statistical arbitrage. 23-49
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Piergiacomo Sabino:
Implementing quasi-Monte Carlo simulations with linear transformations. 51-74
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Eduardo Faria, Stein-Erik Fleten:
Day-ahead market bidding for a Nordic hydropower producer: taking the Elbas market into account. 75-101
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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
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Marcellino Gaudenzi, Antonino Zanette:
Pricing cliquet options by tree methods. 125-135
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Willem K. Klein Haneveld, Matthijs H. Streutker, Maarten H. van der Vlerk:
Collective adjustment of pension rights in ALM models. 137-156
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Thiemo Krink, Sandra Paterlini:
Multiobjective optimization using differential evolution for real-world portfolio optimization. 157-179
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Michal Kaut, Stein W. Wallace:
Shape-based scenario generation using copulas. 181-199

Volume 8, Number 3, August 2011

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Masao Fukushima:
Restricted generalized Nash equilibria and controlled penalty algorithm. 201-218
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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
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Erol Gelenbe, Peixiang Liu, Boleslaw K. Szymanski, Christopher Morrell:
Cognitive and self-selective routing for sensor networks. 237-258
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Konstantinos P. Anagnostopoulos, Georgios Mamanis:
Multiobjective evolutionary algorithms for complex portfolio optimization problems. 259-279
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Theodore B. Trafalis, Olutayo O. Oladunni, Michael B. Richman:
Linear classification tikhonov regularization knowledge-based support vector machine for tornado forecasting. 281-297
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Mustafa Ç. Pinar:
Gain-loss based convex risk limits in discrete-time trading. 299-321

Volume 8, Number 4, November 2011

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Jun-ya Gotoh, Akiko Takeda:
On the role of norm constraints in portfolio selection. 323
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Jean-Paul Watson, David L. Woodruff:
Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems. 355-370
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Mauro Piacentini, Francesco Rinaldi:
Path loss prediction in urban environment using learning machines and dimensionality reduction techniques. 371-385
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Ana Margarida Monteiro, Reha H. Tütüncü, Luís N. Vicente:
Estimation of risk-neutral density surfaces. 387-414
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Maher Maalouf, Theodore B. Trafalis, Indra Adrianto:
Kernel logistic regression using truncated Newton method. 415-428

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