Journal: Annals of Operations Research

Found 3339 papers in total
Shiftable intervals
Shiftable intervals
2007,
Consider a set of n fixed length intervals and a set of n (larger) windows, in...
A note on the parametric maximum flow problem and some related reoptimization issues
A note on the parametric maximum flow problem and some related reoptimization issues
2007,
In this paper, we will extend the results about the parametric maximum flow problem to...
Greedy algorithm for the general multidimensional knapsack problem
Greedy algorithm for the general multidimensional knapsack problem
2007,
In this paper, we propose a new greedy-like heuristic method, which is primarily...
Coherent multiperiod risk adjusted values and Bellman's principle
Coherent multiperiod risk adjusted values and Bellman's principle
2007,
Starting with a time-0 coherent risk measure defined for ‘value...
A semi-analytical method for VaR and credit exposure analysis
A semi-analytical method for VaR and credit exposure analysis
2007,
In this paper, we discuss new analytical methods for computing Value-at-Risk (VaR) and...
Credit risk optimization using factor models
Credit risk optimization using factor models
2007,
We study portfolio credit risk management using factor models, with a focus on optimal...
Strategic foreign reserves risk management: Analytical framework
Strategic foreign reserves risk management: Analytical framework
2007,
We present an analytical framework for active foreign exchange reserves management...
A stochastic programming model for asset liability management of a Finnish pension company
A stochastic programming model for asset liability management of a Finnish pension company
2007,
This paper describes a stochastic programming model that was developed for asset...
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
2007,
In a financial market with one riskless asset and n risky assets whose prices are...
Scenario optimization asset and liability modelling for individual investors
Scenario optimization asset and liability modelling for individual investors
2007,
We develop a scenario optimization model for asset and liability management of...
A sample-path approach to optimal position liquidation
A sample-path approach to optimal position liquidation
2007,
We consider the problem of optimal position liquidation where the expected cash flow...
Conditional value at risk and related linear programming models for portfolio optimization
Conditional value at risk and related linear programming models for portfolio optimization
2007,
Many risk measures have been recently introduced which (for discrete random variables)...
Financial scenario generation for stochastic multi-stage decision processes as facility location problems
Financial scenario generation for stochastic multi-stage decision processes as facility location problems
2007,
The quality of multi-stage stochastic optimization models as they appear in asset...
Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis
Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis
2007,
We extend the classic mean-variance framework to a broad class of investment decisions...
Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
2007,
In standard portfolio theory, an investor is typically taken as having one stochastic...
Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
2007,
Many practical large-scale optimization problems are not only sparse, but also display...
Portfolio optimization with linear and fixed transaction costs
Portfolio optimization with linear and fixed transaction costs
2007,
We consider the problem of portfolio selection, with transaction costs and constraints...
Multi-period stochastic portfolio optimization: Block-separable decomposition
Multi-period stochastic portfolio optimization: Block-separable decomposition
2007,
We consider a multiperiod stochastic programming recourse model for stock portfolio...
Preemptive patenting under uncertainty and asymmetric information
Preemptive patenting under uncertainty and asymmetric information
2007,
This paper examines the investment behaviour of an incumbent and a potential entrant...
Return distributions of strategic growth options
Return distributions of strategic growth options
2007,
In this study, we develop implications of imperfect competition on the return...
A fast swap-based local search procedure for location problems
A fast swap-based local search procedure for location problems
2007,
We present a new implementation of a widely used swap-based local search procedure for...
Minimum cost multi-product flow lines
Minimum cost multi-product flow lines
2007,
In this paper, the problem of finding the minimum cost flow line able to produce...
Capacitated lot sizing and scheduling with parallel machines and shared buffers: A case study in a packaging company
Capacitated lot sizing and scheduling with parallel machines and shared buffers: A case study in a packaging company
2007,
The aim of this work is to propose a solution approach for a capacitated lot sizing...
Time–cost trade-off via optimal control theory in Markov PERT networks
Time–cost trade-off via optimal control theory in Markov PERT networks
2007,
We develop a new analytical model for the time–cost trade-off problem via...
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