Journal: European Journal of Operational Research

Found 7937 papers in total
Product mixes as objects of choice in non-parametric efficiency measurement
Product mixes as objects of choice in non-parametric efficiency measurement
2001,
Non-radial measures of technical efficiency essentially differ from their radial...
A quasi-concave data envelopment analysis model with an application for bank branch performance evaluation
A quasi-concave data envelopment analysis model with an application for bank branch performance evaluation
2001,
In this paper, we present a data envelopment analysis (DEA) model that replaces the...
A fuzzy goal programming approach to portfolio selection
A fuzzy goal programming approach to portfolio selection
2001,
Portfolio selection is a usual multiobjective problem. This paper will try to deal...
Claim pricing and hedging under market incompleteness and ‘mean–variance’ preferences
Claim pricing and hedging under market incompleteness and ‘mean–variance’ preferences
2001,
This paper derives bid and ask prices of a general contingent claim in an incomplete...
Measuring economic efficiency with incomplete price information: With an application to European commercial banks
Measuring economic efficiency with incomplete price information: With an application to European commercial banks
2001,
Measuring economic efficiency requires complete price information, while resorting to...
Allocative efficiency in branch banking
Allocative efficiency in branch banking
2001,
Bank branch efficiency and organization change is analyzed using data from 50 savings...
A note on portfolio selection with restrictions on leverage
A note on portfolio selection with restrictions on leverage
2001,
This note focuses on a mean–variance asset allocation framework having...
Option pricing bounds with standard risk aversion preferences
Option pricing bounds with standard risk aversion preferences
2001,
For a theoretical valuation of a financial option, various models have been proposed...
From data to model and back to data: A bond portfolio management problem
From data to model and back to data: A bond portfolio management problem
2001,
The bond portfolio management problem is formulated as a multiperiod stochastic...
Scenario generation and stochastic programming models for asset liability management
Scenario generation and stochastic programming models for asset liability management
2001,
In this paper, we develop and test scenario generation methods for asset liability...
Analyzing legal regulations in the Norwegian life insurance business using a multistage asset–liability management model
Analyzing legal regulations in the Norwegian life insurance business using a multistage asset–liability management model
2001,
The legal regulations for the life insurance business in Norway have recently been,...
Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
2001,
This paper investigates the dynamic behaviour of daily aggregate returns of one of...
Multivariate cointegration analysis of the Finnish–Japanese stock markets
Multivariate cointegration analysis of the Finnish–Japanese stock markets
2001,
In this paper evidence on the cointegration between the Finnish and Japanese financial...
A compromise solution to mutual funds portfolio selection with transaction costs
A compromise solution to mutual funds portfolio selection with transaction costs
2001,
This paper considers the portfolio selection problem with transaction costs which are...
A pricing model for secondary market yield based floating rate notes subject to default risk
A pricing model for secondary market yield based floating rate notes subject to default risk
2001,
The purpose of this article is to price secondary market yield based floating rate...
Dynamic value at risk under optimal and suboptimal portfolio policies
Dynamic value at risk under optimal and suboptimal portfolio policies
2001,
At present, all value at risk (VaR) implementations – i.e., all risk measures of...
Xetra efficiency evaluation and NASDAQ modelling by KapSyn
Xetra efficiency evaluation and NASDAQ modelling by KapSyn
2001,
In this paper we give an introduction to capital market synergetics, a model enabling...
Fuzziness in valuing financial instruments by certainty equivalents
Fuzziness in valuing financial instruments by certainty equivalents
2001,
Our aim is to use the utility theory of von Neumann and Morgenstern and the approach...
Application of the fuzzy–stochastic methodology to appraising the firm value as a European call option
Application of the fuzzy–stochastic methodology to appraising the firm value as a European call option
2001,
The valuing of a firm equity as a call option is a crucial problem in financial...
Default probabilities in a corporate bank portfolio: A logistic model approach
Default probabilities in a corporate bank portfolio: A logistic model approach
2001,
Analysis and management of credit risk has taken on an increased importance in recent...
A data envelopment analysis approach to measure the mutual fund performance
A data envelopment analysis approach to measure the mutual fund performance
2001,
In this paper we present a model which can be used to evaluate the performance of...
Goal programming: Application in the management of the miombo woodland in Mozambique
Goal programming: Application in the management of the miombo woodland in Mozambique
2001,
Community-based management of natural resources is a priority in Mozambique's policy...
Carbon sequestration and land management under uncertainty
Carbon sequestration and land management under uncertainty
2001,
Uncertainty about the role of forestry and land-use change in mitigating global...
Assessing the technical and allocative efficiency of hospital operations in Greece and its resource allocation implications
Assessing the technical and allocative efficiency of hospital operations in Greece and its resource allocation implications
2001,
In this paper, we seek to develop a research framework concerning the assessment of...
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