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Computational Management Science, Volume 16
Volume 16, Numbers 1-2, February 2019
- Rosella Giacometti
, Berç Rustem:
14th International Conference on Computational Management Science. 1-2 - Sjur Didrik Flåm:
Blocks of coordinates, stochastic programming, and markets. 3-16 - Barbora Petrová
Multistage portfolio optimization with multivariate dominance constraints. 17-46 - Stefano Herzel
Optimal strategies with option compensation under mean reverting returns or volatilities. 47-69 - Asmerilda Hitaj
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization. 71-95 - Sergio Ortobelli Lozza
Timing portfolio strategies with exponential Lévy processes. 97-127 - Giorgio Consigli
Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study. 129-154 - Pablo Rovira Kaltwasser, Alessandro Spelta:
Identifying systemically important financial institutions: a network approach. 155-185 - Young Shin Kim
Tempered stable process, first passage time, and path-dependent option pricing. 187-215 - Ludovic Goudenège
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. 217-248 - Martina Nardon
European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions. 249-274 - Vincenzo Russo, Gabriele Torri
Calibration of one-factor and two-factor Hull-White models using swaptions. 275-295 - Johan Hagenbjörk
Simulation and evaluation of the distribution of interest rate risk. 297-327 - Giovanni Micheli
Big data analytics: an aid to detection of non-technical losses in power utilities. 329-343 - Rüdiger Kiesel, Florentina Paraschiv, Audun Sætherø
On the construction of hourly price forward curves for electricity prices. 345-369
Volume 16, Number 3, July 2019
- Giorgio Consigli
Data-driven optimization in management. 371-374 - Gabriele Torri
Sparse precision matrices for minimum variance portfolios. 375-400 - Margherita Giuzio
Un-diversifying during crises: Is it a good idea? 401-432 - Diana Barro
Volatility versus downside risk: performance protection in dynamic portfolio strategies. 433-479 - Algo Carè
The wait-and-judge scenario approach applied to antenna array design. 481-499 - Alexia Marchand
Optimized operating rules for short-term hydropower planning in a stochastic environment. 501-519 - Didem Sari Ay
Observational data-based quality assessment of scenario generation for stochastic programs. 521-540
Volume 16, Number 4, October 2019
- Walter J. Gutjahr, Alois Pichler
Uncertainty, economics and optimization: recent developments. 541-543 - Angelos Georghiou
The decision rule approach to optimization under uncertainty: methodology and applications. 545-576 - Vladimir I. Norkin
B&B method for discrete partial order optimization. 577-592 - Immanuel M. Bomze
Notoriously hard (mixed-)binary QPs: empirical evidence on new completely positive approaches. 593-619 - Werner Hölzl, Serguei Kaniovski, Yuriy Kaniovski:
Exploring the dynamics of business survey data using Markov models. 621-649 - Stefan Hochrainer-Stigler
Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria. 651-669 - Raimund M. Kovacevic
Arbitrage conditions for electricity markets with production and storage. 671-696 - Joost Berkhout
Robustness analysis of generalized Jackson network. 697-714 - Thomas Flynn
A simultaneous perturbation weak derivative estimator for stochastic neural networks. 715-738 - Francesca Maggioni
The value of the right distribution in stochastic programming with application to a Newsvendor problem. 739-758
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