Journal: European Journal of Operational Research

Found 7937 papers in total
Testing robustness in calibration of stochastic volatility models
Testing robustness in calibration of stochastic volatility models
2005,
Many numerical aspects are involved in parameter estimation of stochastic volatility...
Reducing incremental costs associated with the delegation of incentive contracting decisions: An analysis of planning and control decisions in a manufacturing setting in the presence of moral hazard
Reducing incremental costs associated with the delegation of incentive contracting decisions: An analysis of planning and control decisions in a manufacturing setting in the presence of moral hazard
2005,
We compare and contrast two specific regimes involving the centralization and...
Extensions of the Ho and Lee interest-rate model to the multinomial case
Extensions of the Ho and Lee interest-rate model to the multinomial case
2005,
The paper presents a state dependent multinomial model of intertemporal changes in the...
Indeterminacy in portfolio selection
Indeterminacy in portfolio selection
2005,
This paper develops the indeterminacy in “portfolio selection” putting...
Hedging effectiveness of stock index futures
Hedging effectiveness of stock index futures
2005,
The paper is concerned with the efficiency of hedging stock portfolios using futures...
The pricing of options on an interval binomial tree. An application to the DAX-index option market
The pricing of options on an interval binomial tree. An application to the DAX-index option market
2005,
This paper implements a model setup in Mussioli and Torricelli for deriving implied...
Production planning with approved vendor matrices for a hard-disk drive manufacturer
Production planning with approved vendor matrices for a hard-disk drive manufacturer
2005,
We develop an optimal production schedule for a manufacturer of hard-disk drives that...
A GARCH option pricing model with α-stable innovations
A GARCH option pricing model with α-stable innovations
2005,
We develop an option pricing model which is based on a GARCH asset return process with...
Manufacturing lead-time rules: Customer retention versus tardiness costs
Manufacturing lead-time rules: Customer retention versus tardiness costs
2005,
Inaccurate production backlog information is a major cause of late deliveries, which...
Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach
Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach
2005,
We study a dynamic portfolio management problem over a finite horizon with transaction...
Selecting an optimal portfolio of consumer loans by applying the state preference approach
Selecting an optimal portfolio of consumer loans by applying the state preference approach
2005,
Internal models like CreditMetrics and Kealhofer–McQuown–Vasicek (KMV),...
The Asian crisis and calendar effects on stock returns in Thailand
The Asian crisis and calendar effects on stock returns in Thailand
2005,
This paper systematically examines daily returns of the Thai Stock Market Index to...
Bad news and Dow Jones make the Spanish stocks go round
Bad news and Dow Jones make the Spanish stocks go round
2005,
This paper is a data-based attempt to analyse what kind of information basically...
Theory of portfolios: New considerations on classic models and the Capital Market Line
Theory of portfolios: New considerations on classic models and the Capital Market Line
2005,
The aim of this paper is to present an alternative method to obtain the efficient...
On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds
On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds
2005,
The evaluation of the performance of mutual funds (MFs) has been a very interesting...
Allocation of attention within venture capital firms
Allocation of attention within venture capital firms
2005,
In this article we use a simple queueing network to model the process through which...
Managing inventories in a two-echelon dual-channel supply chain
Managing inventories in a two-echelon dual-channel supply chain
2005,
We present a two-echelon dual-channel inventory model in which stocks are kept in both...
Supply chain management in forestry – case studies at Södra Cell AB
Supply chain management in forestry – case studies at Södra Cell AB
2005,
The use of supply chain management and optimisation is of increasing importance in the...
Inventory control based on advanced probability theory, an application
Inventory control based on advanced probability theory, an application
2005,
Whenever stock is placed as a buffer between consumption and supply the decision when...
Ensemble strategies for a medical diagnostic decision support system: A breast cancer diagnosis application
Ensemble strategies for a medical diagnostic decision support system: A breast cancer diagnosis application
2005,
The model selection strategy is an important determinant of the performance and...
On multi-item inventory
On multi-item inventory
2005,
The paper gives a new approach towards a two-item inventory model for deteriorating...
Approximation algorithms for the maximum Hamiltonian path problem with specified endpoint(s)
Approximation algorithms for the maximum Hamiltonian path problem with specified endpoint(s)
2005,
This paper deals with the problem of constructing Hamiltonian paths of optimal weight,...
A branch and bound algorithm for the robust spanning tree problem with interval data
A branch and bound algorithm for the robust spanning tree problem with interval data
2005,
The robust spanning tree problem is a variation, motivated by telecommunications...
The capacitated minimum spanning tree problem: On improved multistar constraints
The capacitated minimum spanning tree problem: On improved multistar constraints
2005,
In this paper, we propose a new set of valid inequalities for the Capacitated Minimum...
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