Journal: Comput. Manag. Science

Volume 16, Issue 4

541 -- 543Walter J. Gutjahr, Alois Pichler. Uncertainty, economics and optimization: recent developments
545 -- 576Angelos Georghiou, Daniel Kuhn, Wolfram Wiesemann. The decision rule approach to optimization under uncertainty: methodology and applications
577 -- 592Vladimir I. Norkin. B&B method for discrete partial order optimization
593 -- 619Immanuel M. Bomze, Jianqiang Cheng, Peter J. C. Dickinson, Abdel Lisser, Jia Liu. Notoriously hard (mixed-)binary QPs: empirical evidence on new completely positive approaches
621 -- 649Werner Hölzl, Serguei Kaniovski, Yuriy Kaniovski. Exploring the dynamics of business survey data using Markov models
651 -- 669Stefan Hochrainer-Stigler, Juraj Balkovic, Kadri Silm, Anna Timonina-Farkas. Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
671 -- 696Raimund M. Kovacevic. Arbitrage conditions for electricity markets with production and storage
697 -- 714Joost Berkhout, Bernd Heidergott, Jennifer Sommer, Hans Daduna. Robustness analysis of generalized Jackson network
715 -- 738Thomas Flynn, Felisa J. Vázquez-Abad. A simultaneous perturbation weak derivative estimator for stochastic neural networks
739 -- 758Francesca Maggioni, Matteo Cagnolari, Luca Bertazzi. The value of the right distribution in stochastic programming with application to a Newsvendor problem

Volume 16, Issue 3

371 -- 374Giorgio Consigli, Anton J. Kleywegt. Data-driven optimization in management
375 -- 400Gabriele Torri, Rosella Giacometti, Sandra Paterlini. Sparse precision matrices for minimum variance portfolios
401 -- 432Margherita Giuzio, Sandra Paterlini. Un-diversifying during crises: Is it a good idea?
433 -- 479Diana Barro, Elio Canestrelli, Giorgio Consigli. Volatility versus downside risk: performance protection in dynamic portfolio strategies
481 -- 499Algo Carè, Simone Garatti, Marco C. Campi. The wait-and-judge scenario approach applied to antenna array design
501 -- 519Alexia Marchand, Michel Gendreau, Marko Blais, Jonathan Guidi. Optimized operating rules for short-term hydropower planning in a stochastic environment
521 -- 540Didem Sari Ay, Sarah M. Ryan. Observational data-based quality assessment of scenario generation for stochastic programs

Volume 16, Issue 1-2

1 -- 2Rosella Giacometti, Berç Rustem. 14th International Conference on Computational Management Science
3 -- 16Sjur Didrik Flåm. Blocks of coordinates, stochastic programming, and markets
17 -- 46Barbora Petrová. Multistage portfolio optimization with multivariate dominance constraints
47 -- 69Stefano Herzel, Marco Nicolosi. Optimal strategies with option compensation under mean reverting returns or volatilities
71 -- 95Asmerilda Hitaj, Lorenzo Mercuri, Edit Rroji. Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
97 -- 127Sergio Ortobelli Lozza, Enrico Angelelli, Alda Ndoci. Timing portfolio strategies with exponential Lévy processes
129 -- 154Giorgio Consigli, Asmerilda Hitaj, Elisa Mastrogiacomo. Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
155 -- 185Pablo Rovira Kaltwasser, Alessandro Spelta. Identifying systemically important financial institutions: a network approach
187 -- 215Young Shin Kim. Tempered stable process, first passage time, and path-dependent option pricing
217 -- 248Ludovic Goudenège, Andrea Molent, Antonino Zanette. Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
249 -- 274Martina Nardon, Paolo Pianca. European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions
275 -- 295Vincenzo Russo, Gabriele Torri. Calibration of one-factor and two-factor Hull-White models using swaptions
297 -- 327Johan Hagenbjörk, Jörgen Blomvall. Simulation and evaluation of the distribution of interest rate risk
329 -- 343Giovanni Micheli, Emiliano Soda, Maria Teresa Vespucci, Marco Gobbi, Alessandro Bertani. Big data analytics: an aid to detection of non-technical losses in power utilities
345 -- 369Rüdiger Kiesel, Florentina Paraschiv, Audun Sætherø. On the construction of hourly price forward curves for electricity prices