Journal: Computational Management Science

Found 180 papers in total
Theoretical and algorithmic advances in multi‐parametric programming and control
Theoretical and algorithmic advances in multi‐parametric programming and control
2012,
This paper presents an overview of recent theoretical and algorithmic advances, and...
Monte Carlo methods for mean‐risk optimization and portfolio selection
Monte Carlo methods for mean‐risk optimization and portfolio selection
2012,
Stochastic programming is a well‐known instrument to model many risk management...
Real options analysis of investment in carbon capture and sequestration technology
Real options analysis of investment in carbon capture and sequestration technology
2012,
Among a comprehensive scope of mitigation measures for climate change, CO 2 capture...
Robust portfolio optimization with a hybrid heuristic algorithm
Robust portfolio optimization with a hybrid heuristic algorithm
2012,
Estimation errors in both the expected returns and the covariance matrix hamper the...
Single source single‐commodity stochastic network design
Single source single‐commodity stochastic network design
2012,
Stochastics affects the optimal design of a network. This paper examines the...
Regime‐switching recurrent reinforcement learning for investment decision making
Regime‐switching recurrent reinforcement learning for investment decision making
2012,
This paper presents the regime‐switching recurrent reinforcement learning...
Robust international portfolio management
Robust international portfolio management
2012,
We present an international portfolio optimization model where we take into account...
Path loss prediction in urban environment using learning machines and dimensionality reduction techniques
Path loss prediction in urban environment using learning machines and dimensionality reduction techniques
2011,
Path loss prediction is a crucial task for the planning of networks in modern mobile...
Progressive hedging innovations for a class of stochastic mixed‐integer resource allocation problems
Progressive hedging innovations for a class of stochastic mixed‐integer resource allocation problems
2011,
Numerous planning problems can be formulated as multi‐stage stochastic programs...
Estimation of risk‐neutral density surfaces
Estimation of risk‐neutral density surfaces
2011,
Option price data is often used to infer risk‐neutral densities for future...
Kernel logistic regression using truncated Newton method
Kernel logistic regression using truncated Newton method
2011,
Kernel logistic regression (KLR) is a powerful nonlinear classifier. The combination...
On the role of norm constraints in portfolio selection
On the role of norm constraints in portfolio selection
2011,
Several optimization approaches for portfolio selection have been proposed in order to...
Participating life insurance policies: an accurate and efficient parallel software for COTS clusters
Participating life insurance policies: an accurate and efficient parallel software for COTS clusters
2011,
In this paper we discuss the development of a parallel software for the numerical...
Cognitive and self‐selective routing for sensor networks
Cognitive and self‐selective routing for sensor networks
2011,
New approaches to Quality-of-Service (QoS) routing in wireless sensor networks which...
Multiobjective evolutionary algorithms for complex portfolio optimization problems
Multiobjective evolutionary algorithms for complex portfolio optimization problems
2011,
This paper investigates the ability of Multiobjective Evolutionary Algorithms (MOEAs),...
Linear classification tikhonov regularization knowledge‐based support vector machine for tornado forecasting
Linear classification tikhonov regularization knowledge‐based support vector machine for tornado forecasting
2011,
A knowledge-based linear Tihkonov regularization classification model for tornado...
Restricted generalized Nash equilibria and controlled penalty algorithm
Restricted generalized Nash equilibria and controlled penalty algorithm
2011,
The generalized Nash equilibrium problem (GNEP) is a generalization of the standard...
Gain–loss based convex risk limits in discrete‐time trading
Gain–loss based convex risk limits in discrete‐time trading
2011,
We present an approach for pricing and hedging in incomplete markets, which...
Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi‐factor model
Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi‐factor model
2011,
For estimating the parameters of models for financial market data, the use of robust...
Implementing quasi‐Monte Carlo simulations with linear transformations
Implementing quasi‐Monte Carlo simulations with linear transformations
2011,
The curse of dimensionality limits the accuracy of the quasi-Monte Carlo (QMC) method...
Dynamic modeling of mean‐reverting spreads for statistical arbitrage
Dynamic modeling of mean‐reverting spreads for statistical arbitrage
2011,
Statistical arbitrage strategies, such as pairs trading and its generalizations rely...
Mean‐variance versus expected utility in dynamic investment analysis
Mean‐variance versus expected utility in dynamic investment analysis
2011,
Given the existence of a Markovian state price density process, this paper extends...
Multiobjective optimization using differential evolution for real‐world portfolio optimization
Multiobjective optimization using differential evolution for real‐world portfolio optimization
2011,
Portfolio optimization is an important aspect of decision‐support in investment...
Day‐ahead market bidding for a Nordic hydropower producer: taking the Elbas market into account
Day‐ahead market bidding for a Nordic hydropower producer: taking the Elbas market into account
2011,
In many power markets around the world the energy generation decisions result from...
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