Journal: Journal of the Operations Research Society of Japan

Found 541 papers in total
An optimal trading strategy for participating policies
An optimal trading strategy for participating policies
2002,
I consider a participating policy as a contingent claim whose payoff is similar to a...
Quasirandom tree method for pricing American style derivatives
Quasirandom tree method for pricing American style derivatives
2002,
Pricing American options is a difficult task due to the early exercise opportunities,...
Comparative analyses of expected shortfall and value-at-risk
Comparative analyses of expected shortfall and value-at-risk
2002,
This paper summarizes the authors' papers on the comparative analyses of expected...
Optimizing the manager structure in a downside risk framework
Optimizing the manager structure in a downside risk framework
2002,
To decide the investment policy of a pension fund, a plan sponsor first conducts an...
Compact representations of multi-period stochastic program using simulated path model
Compact representations of multi-period stochastic program using simulated path model
2002,
Simulated path model was proposed by Hibiki in order to solve a multi-period...
Group interval analytic hierarchy process by using a dissatisfaction function
Group interval analytic hierarchy process by using a dissatisfaction function
2002,
This paper proposes a group consensus making method by using modified AHP (Analytic...
A short note on the reducibility of the collapsing knapsack problem
A short note on the reducibility of the collapsing knapsack problem
2002,
This paper deals with the collapsing knapsack problem. In the literature, to solve the...
An efficient complete enumeration method for network design problems and its applications
An efficient complete enumeration method for network design problems and its applications
2002,
In many network design problems, the best layout of components is searched considering...
On Grötschel–Lovász–Shrijver's relaxation of stable set polytopes
On Grötschel–Lovász–Shrijver's relaxation of stable set polytopes
2002,
Grötschel, Lovász and Schrijver introduced a convex set containing the...
A queueing model with input of Moving Picture Exports Group (MPEG) frame sequence and interfering traffic
A queueing model with input of Moving Picture Exports Group (MPEG) frame sequence and interfering traffic
2002,
We study a queueing system having a mixture of a special semi-Markov process (SSMP)...
An asymptotic valuation for the option under a general stochastic volatility
An asymptotic valuation for the option under a general stochastic volatility
2002,
This article examines the valuation problem for the European option under a general...
Prediction of chaotic time-series by using the multi-stage fuzzy inference systems and its applications to the analysis of operational flexibility
Prediction of chaotic time-series by using the multi-stage fuzzy inference systems and its applications to the analysis of operational flexibility
2002,
This paper deals with the prediction of chaotic time series by using the multi-stage...
For clean and safe space environment – three dimensional standard routing problem
For clean and safe space environment – three dimensional standard routing problem
2002,
We have launched the first artificial satellite in 1957. Since then, a new...
Two efficient algorithms for the generalized maximum balanced flow problem
Two efficient algorithms for the generalized maximum balanced flow problem
2002,
Minoux considered the maximum balanced flow problem, i.e. the problem of finding a...
Valuing corporate debt: The effect of cross-holdings of stock and debt
Valuing corporate debt: The effect of cross-holdings of stock and debt
2002,
We have developed a simple approach to valuing risky corporate debt when corporations...
The decision procedure for profitability of investment projects using the internal rate of return of single-period projects
The decision procedure for profitability of investment projects using the internal rate of return of single-period projects
2002,
The internal rate of return (IRR) criterion is often used to evaluate profitability of...
Mathematical properties of dominant analytic hierarchy process and concurrent convergence method
Mathematical properties of dominant analytic hierarchy process and concurrent convergence method
2002,
This study discusses the mathematical structure of the dominant AHP and the concurrent...
A scanline-based algorithm for the 2D free-form bin packing problem
A scanline-based algorithm for the 2D free-form bin packing problem
2002,
This paper describes a heuristic algorithm for the two-dimensional free-form bin...
An optimal distribution of searching effort relaxing the assumption of local effectiveness
An optimal distribution of searching effort relaxing the assumption of local effectiveness
2002,
In this paper, taking account of the detectability of a sensor for a target being in...
Discrete search allocation game with energy constraints
Discrete search allocation game with energy constraints
2002,
This paper deals with a search game. In a search space, a target wants to avoid a...
An application of descriptive analytic hierarchy process to siting a municipal waste disposal plant
An application of descriptive analytic hierarchy process to siting a municipal waste disposal plant
2002,
In this paper, a municipal decision support methodology is proposed to evaluate the...
A dynamic model for a two-cabin yield management with free upgrading decision
A dynamic model for a two-cabin yield management with free upgrading decision
2001,
It is a current airline industry practice to upgrade passengers from the economy cabin...
Enumeration of all solutions of a combinatorial linear inequality system arising from the polyhedral homotopy continuation method
Enumeration of all solutions of a combinatorial linear inequality system arising from the polyhedral homotopy continuation method
2002,
An interesting combinatorial (enumeration) problem arises in the initial phase of the...
Optimum requirement Hamilton cycle problem with a Monge-like property
Optimum requirement Hamilton cycle problem with a Monge-like property
2002,
Given a simple graph G with a vertex set V and a set of ‘requirements’ { r...
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