Journal: Comput. Manag. Science

Volume 8, Issue 4

323 -- 0Jun-ya Gotoh, Akiko Takeda. On the role of norm constraints in portfolio selection
355 -- 370Jean-Paul Watson, David L. Woodruff. Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
371 -- 385Mauro Piacentini, Francesco Rinaldi. Path loss prediction in urban environment using learning machines and dimensionality reduction techniques
387 -- 414Ana Margarida Monteiro, Reha H. Tütüncü, Luís N. Vicente. Estimation of risk-neutral density surfaces
415 -- 428Maher Maalouf, Theodore B. Trafalis, Indra Adrianto. Kernel logistic regression using truncated Newton method

Volume 8, Issue 3

201 -- 218Masao Fukushima. Restricted generalized Nash equilibria and controlled penalty algorithm
219 -- 236Stefania Corsaro, Pasquale L. De Angelis, Zelda Marino, Francesca Perla. Participating life insurance policies: an accurate and efficient parallel software for COTS clusters
237 -- 258Erol Gelenbe, Peixiang Liu, Boleslaw K. Szymanski, Christopher Morrell. Cognitive and self-selective routing for sensor networks
259 -- 279Konstantinos P. Anagnostopoulos, Georgios Mamanis. Multiobjective evolutionary algorithms for complex portfolio optimization problems
281 -- 297Theodore B. Trafalis, Olutayo O. Oladunni, Michael B. Richman. Linear classification tikhonov regularization knowledge-based support vector machine for tornado forecasting
299 -- 321Mustafa Ç. Pinar. Gain-loss based convex risk limits in discrete-time trading

Volume 8, Issue 1-2

1 -- 2Daniel Kuhn. Preface
3 -- 22Leonard C. MacLean, Yonggan Zhao, William T. Ziemba. Mean-variance versus expected utility in dynamic investment analysis
23 -- 49Kostas Triantafyllopoulos, Giovanni Montana. Dynamic modeling of mean-reverting spreads for statistical arbitrage
51 -- 74Piergiacomo Sabino. Implementing quasi-Monte Carlo simulations with linear transformations
75 -- 101Eduardo Faria, Stein-Erik Fleten. Day-ahead market bidding for a Nordic hydropower producer: taking the Elbas market into account
103 -- 123Peter Winker, Marianna Lyra, Chris Sharpe. Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model
125 -- 135Marcellino Gaudenzi, Antonino Zanette. Pricing cliquet options by tree methods
137 -- 156Willem K. Klein Haneveld, Matthijs H. Streutker, Maarten H. van der Vlerk. Collective adjustment of pension rights in ALM models
157 -- 179Thiemo Krink, Sandra Paterlini. Multiobjective optimization using differential evolution for real-world portfolio optimization
181 -- 199Michal Kaut, Stein W. Wallace. Shape-based scenario generation using copulas