Works matching IS 02545330 AND DT 2007 AND VI 152 AND IP 1

Results: 17

A two-stage stochastic integer programming approach as a mixture of Branch-and-Fix Coordination and Benders Decomposition schemes.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 395, doi. 10.1007/s10479-006-0138-0

By:

Escudero, L. F.;
Garín, A.;
Merino, M.;
Pérez, G.

Publication type:

Article

Scenario optimization asset and liability modelling for individual investors.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 167, doi. 10.1007/s10479-006-0133-5

By:

Consiglio, Andrea;
Cocco, Flavio;
Zenios, Stavros A.

Publication type:

Article

Multi-period stochastic portfolio optimization: Block-separable decomposition.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 367, doi. 10.1007/s10479-006-0129-1

By:

Edirisinghe, N. C. P.;
Patterson, E. I.

Publication type:

Article

Financial scenario generation for stochastic multi-stage decision processes as facility location problems.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 257, doi. 10.1007/s10479-006-0140-6

By:

Hochreiter, Ronald;
Ch. Pflug, Georg

Publication type:

Article

A stochastic programming model for asset liability management of a Finnish pension company.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 115, doi. 10.1007/s10479-006-0135-3

By:

Hilli, Petri;
Koivu, Matti;
Pennanen, Teemu;
Ranne, Antero

Publication type:

Article

Coherent multiperiod risk adjusted values and Bellman’s principle.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 5, doi. 10.1007/s10479-006-0132-6

By:

Artzner, Philippe;
Delbaen, Freddy;
Eber, Jean-Marc;
Heath, David;
Hyejin Ku

Publication type:

Article

Conditional value at risk and related linear programming models for portfolio optimization.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 227, doi. 10.1007/s10479-006-0142-4

By:

Mansini, Renata;
Ogryczak, Włodzimierz;
Speranza, M. Grazia

Publication type:

Article

A sample-path approach to optimal position liquidation.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 193, doi. 10.1007/s10479-006-0143-3

By:

Krokhmal, Pavlo;
Uryasev, Stanislav

Publication type:

Article

Preface.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 1, doi. 10.1007/s10479-006-0146-0

By:

Vladimirou, Hercules

Publication type:

Article

Strategic foreign reserves risk management: Analytical framework.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 79, doi. 10.1007/s10479-006-0124-6

By:

Claessens, Stijn;
Kreuser, Jerome

Publication type:

Article

A semi-analytical method for VaR and credit exposure analysis.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 23, doi. 10.1007/s10479-006-0123-7

By:

De Prisco, Ben;
Iscoe, Ian;
Kreinin, Alexander;
Nagi, Ahmed

Publication type:

Article

Portfolio optimization with linear and fixed transaction costs.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 341, doi. 10.1007/s10479-006-0145-1

By:

Lobo, Miguel Sousa;
Fazel, Maryam;
Boyd, Stephen

Publication type:

Article

Credit risk optimization using factor models.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 49, doi. 10.1007/s10479-006-0136-2

By:

Saunders, David;
Xiouros, Costas;
Zenios, Stavros A.;
Zenios, S. A.

Publication type:

Article

Parallel interior-point solver for structured quadratic programs: Application to financial planning problems.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 319, doi. 10.1007/s10479-006-0139-z

By:

Gondzio, Jacek;
Grothey, Andreas

Publication type:

Article

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 141, doi. 10.1007/s10479-006-0144-2

By:

Battocchio, Paolo;
Menoncin, Francesco;
Scaillet, Olivier

Publication type:

Article

Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 297, doi. 10.1007/s10479-006-0137-1

By:

Steuer, Ralph E.;
Yue Qi;
Hirschberger, Markus

Publication type:

Article

Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis.

Published in:

Annals of Operations Research, 2007, v. 152, n. 1, p. 273, doi. 10.1007/s10479-006-0141-5

By:

Lazimy, Rafael

Publication type:

Article