Journal: Comput. Manag. Science

Volume 15, Issue 3-4

319 -- 323David P. Morton, Ward Romeijnders, Rüdiger Schultz, Leen Stougie. The stochastic programming heritage of Maarten van der Vlerk
325 -- 349Niels van der Laan, Ward Romeijnders, Maarten H. van der Vlerk. Higher-order total variation bounds for expectations of periodic functions and simple integer recourse approximations
351 -- 367Weijun Xie, Shabbir Ahmed. Distributionally robust simple integer recourse
369 -- 395Lars Hellemo, Paul I. Barton, Asgeir Tomasgard. Decision-dependent probabilities in stochastic programs with recourse
397 -- 410Vit Prochazka, Stein W. Wallace. Stochastic programs with binary distributions: structural properties of scenario trees and algorithms
411 -- 429Matthias Claus, Rüdiger Schultz, Kai Spürkel. Strong convexity in risk-averse stochastic programs with complete recourse
431 -- 454Andrew B. Philpott, Vitor L. de Matos, L. Kapelevich. Distributionally robust SDDP
455 -- 477Eli Towle, James Luedtke. New solution approaches for the maximum-reliability stochastic network interdiction problem
479 -- 500Laureano F. Escudero, Juan F. Monge. On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
501 -- 540Semih Atakan, Suvrajeet Sen. A Progressive Hedging based branch-and-bound algorithm for mixed-integer stochastic programs
541 -- 561Jing Voon Chen, Julia L. Higle, Michael Hintlian. A systematic approach for examining the impact of calibration uncertainty in disease modeling
563 -- 582Bismark Singh, David P. Morton, Surya Santoso. An adaptive model with joint chance constraints for a hybrid wind-conventional generator system
583 -- 597Miguel A. Lejeune, Janne Kettunen. A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting
599 -- 632Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali, Lorenzo Mercuri. Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming

Volume 15, Issue 2

135 -- 137Christina Erlwein-Sayer, Ronald Hochreiter. Twenty-five years of applied mathematical programming and modelling
139 -- 159Thomas Trier Bjerring, Kourosh Marjani Rasmussen, Alex Weissensteiner. Portfolio selection under supply chain predictability
161 -- 186Oleksandra Putyatina, Jörn Sass. Approximation for portfolio optimization in a financial market with shot-noise jumps
187 -- 211Maram Al-Wohaibi, Diana Roman. ALM models based on second order stochastic dominance
213 -- 237Yeliz Yolcu-Okur, Tilman Sayer, Bilgi Yilmaz, B. Alper Inkaya. Computation of the Delta of European options under stochastic volatility models
239 -- 258Abdulwahab Animoku, Ömür Ugur, Yeliz Yolcu-Okur. Modeling and implementation of local volatility surfaces in Bayesian framework
259 -- 296Heng Xiong, Rogemar Mamon. Putting a price tag on temperature
297 -- 317Taras Bodnar, Yarema Okhrin, Valdemar Vitlinskyy, Taras Zabolotskyy. Determination and estimation of risk aversion coefficients

Volume 15, Issue 1

1 -- 32Giovanni Bonaccolto, Massimiliano Caporin, Sandra Paterlini. Asset allocation strategies based on penalized quantile regression
33 -- 53Paolo Barucca, Fabrizio Lillo. The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market
55 -- 86Charles Gauvin, Erick Delage, Michel Gendreau. A successive linear programming algorithm with non-linear time series for the reservoir management problem
87 -- 110Luckny Zéphyr, C. Lindsay Anderson. Stochastic dynamic programming approach to managing power system uncertainty with distributed storage
111 -- 134Guanglin Xu, Samuel Burer. A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming