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@article{DBLP:journals/anor/AbidMK18,
author = {Ilyes Abid and
Farid Mkaouar and
Olfa Kaabia},
title = {Dynamic analysis of the forecasting bankruptcy under presence of unobserved
heterogeneity},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {241--256},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2143-2},
doi = {10.1007/S10479-016-2143-2},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/AbidMK18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/Amedee-ManesmeB18,
author = {Charles{-}Olivier Am{\'{e}}d{\'{e}}e{-}Manesme and
Fabrice Barth{\'{e}}l{\'{e}}my},
title = {Ex-ante real estate Value at Risk calculation method},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {257--285},
year = {2018},
url = {https://doi.org/10.1007/s10479-015-2046-7},
doi = {10.1007/S10479-015-2046-7},
timestamp = {Wed, 07 Dec 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/anor/Amedee-ManesmeB18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/AmeurCPP18,
author = {Hatem Ben Ameur and
Ephraim Clark and
Andr{\'{e}} de Palma and
Jean{-}Luc Prigent},
title = {Preface: Risk management decisions and wealth management in Financial
Economics},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {239--240},
year = {2018},
url = {https://doi.org/10.1007/s10479-018-2767-5},
doi = {10.1007/S10479-018-2767-5},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/AmeurCPP18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/AmeurJCL18,
author = {Hachmi Ben Ameur and
Fredj Jawadi and
Abdoulkarim Idi Cheffou and
Wa{\"{e}}l Louhichi},
title = {Measurement errors in stock markets},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {287--306},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2138-z},
doi = {10.1007/S10479-016-2138-Z},
timestamp = {Sun, 25 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/AmeurJCL18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/AngSY18,
author = {Marcus Ang and
Jie Sun and
Qiang Yao},
title = {On the dual representation of coherent risk measures},
journal = {Ann. Oper. Res.},
volume = {262},
number = {1},
pages = {29--46},
year = {2018},
url = {https://doi.org/10.1007/s10479-017-2441-3},
doi = {10.1007/S10479-017-2441-3},
timestamp = {Sun, 25 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/AngSY18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/AvdoulasBB18,
author = {Christos Avdoulas and
Stelios D. Bekiros and
Sabri Boubaker},
title = {Evolutionary-based return forecasting with nonlinear {STAR} models:
evidence from the Eurozone peripheral stock markets},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {307--333},
year = {2018},
url = {https://doi.org/10.1007/s10479-015-2078-z},
doi = {10.1007/S10479-015-2078-Z},
timestamp = {Thu, 23 Jun 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/AvdoulasBB18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/Bahaji18,
author = {Hamza Bahaji},
title = {Are employee stock option exercise decisions better explained through
the prospect theory?},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {335--359},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2127-2},
doi = {10.1007/S10479-016-2127-2},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/Bahaji18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/BarnardPT18,
author = {Roger W. Barnard and
Kent Pearce and
A. Alexandre Trindade},
title = {When is tail mean estimation more efficient than tail median? Answers
and implications for quantitative risk management},
journal = {Ann. Oper. Res.},
volume = {262},
number = {1},
pages = {47--65},
year = {2018},
url = {https://doi.org/10.1007/s10479-017-2547-7},
doi = {10.1007/S10479-017-2547-7},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/BarnardPT18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/Bellalah18,
author = {Mondher Bellalah},
title = {On information costs, short sales and the pricing of extendible options,
steps and Parisian options},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {361--387},
year = {2018},
url = {https://doi.org/10.1007/s10479-015-2050-y},
doi = {10.1007/S10479-015-2050-Y},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/Bellalah18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/Bellalah18a,
author = {Mondher Bellalah},
title = {Pricing derivatives in the presence of shadow costs of incomplete
information and short sales},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {389--411},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2256-7},
doi = {10.1007/S10479-016-2256-7},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/Bellalah18a.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/BertrandL18,
author = {Philippe Bertrand and
Vincent Lapointe},
title = {Risk-based strategies: the social responsibility of investment universes
does matter},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {413--429},
year = {2018},
url = {https://doi.org/10.1007/s10479-015-2081-4},
doi = {10.1007/S10479-015-2081-4},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/BertrandL18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/ChapmanM18,
author = {Amy Givler Chapman and
John E. Mitchell},
title = {A fair division approach to humanitarian logistics inspired by conditional
value-at-risk},
journal = {Ann. Oper. Res.},
volume = {262},
number = {1},
pages = {133--151},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2322-1},
doi = {10.1007/S10479-016-2322-1},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/ChapmanM18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/ClarkB18,
author = {Ephraim Clark and
Selima Baccar},
title = {Modelling credit spreads with time volatility, skewness, and kurtosis},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {431--461},
year = {2018},
url = {https://doi.org/10.1007/s10479-015-1975-5},
doi = {10.1007/S10479-015-1975-5},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/ClarkB18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/DriouchiTS18,
author = {Tarik Driouchi and
Lenos Trigeorgis and
Raymond H. Y. So},
title = {Option implied ambiguity and its information content: Evidence from
the subprime crisis},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {463--491},
year = {2018},
url = {https://doi.org/10.1007/s10479-015-2079-y},
doi = {10.1007/S10479-015-2079-Y},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/DriouchiTS18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/FaturechiIMF18,
author = {Reza Faturechi and
Shabtai Isaac and
Elise Miller{-}Hooks and
Lei Feng},
title = {Risk-based models for emergency shelter and exit design in buildings},
journal = {Ann. Oper. Res.},
volume = {262},
number = {1},
pages = {185--212},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2223-3},
doi = {10.1007/S10479-016-2223-3},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/FaturechiIMF18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/FeldmanX18,
author = {David Feldman and
Xin Xu},
title = {Equilibrium-based volatility models of the market portfolio rate of
return (peacock tails or stotting gazelles)},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {493--518},
year = {2018},
url = {https://doi.org/10.1007/s10479-015-1972-8},
doi = {10.1007/S10479-015-1972-8},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/FeldmanX18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/HainautSZ18,
author = {Donatien Hainaut and
Yang Shen and
Yan Zeng},
title = {How do capital structure and economic regime affect fair prices of
bank's equity and liabilities?},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {519--545},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2210-8},
doi = {10.1007/S10479-016-2210-8},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/HainautSZ18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/JiL18,
author = {Ran Ji and
Miguel A. Lejeune},
title = {Risk-budgeting multi-portfolio optimization with portfolio and marginal
risk constraints},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {547--578},
year = {2018},
url = {https://doi.org/10.1007/s10479-015-2044-9},
doi = {10.1007/S10479-015-2044-9},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/JiL18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/LinSY18,
author = {Edward M. H. Lin and
Edward W. Sun and
Min{-}Teh Yu},
title = {Systemic risk, financial markets, and performance of financial institutions},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {579--603},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2113-8},
doi = {10.1007/S10479-016-2113-8},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/LinSY18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/MerzifonluogluU18,
author = {Yasemin Merzifonluoglu and
Eray Uzgoren},
title = {Photovoltaic power plant design considering multiple uncertainties
and risk},
journal = {Ann. Oper. Res.},
volume = {262},
number = {1},
pages = {153--184},
year = {2018},
url = {https://doi.org/10.1007/s10479-017-2557-5},
doi = {10.1007/S10479-017-2557-5},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/MerzifonluogluU18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/Naguez18,
author = {Naceur Naguez},
title = {Dynamic portfolio insurance strategies: risk management under Johnson
distributions},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {605--629},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2121-8},
doi = {10.1007/S10479-016-2121-8},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/Naguez18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/PavlikovU18,
author = {Konstantin Pavlikov and
Stan Uryasev},
title = {CVaR distance between univariate probability distributions and approximation
problems},
journal = {Ann. Oper. Res.},
volume = {262},
number = {1},
pages = {67--88},
year = {2018},
url = {https://doi.org/10.1007/s10479-017-2732-8},
doi = {10.1007/S10479-017-2732-8},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/PavlikovU18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/PereraBL18,
author = {Sandun Perera and
Winston S. Buckley and
Hongwei Long},
title = {Market-reaction-adjusted optimal central bank intervention policy
in a forex market with jumps},
journal = {Ann. Oper. Res.},
volume = {262},
number = {1},
pages = {213--238},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2297-y},
doi = {10.1007/S10479-016-2297-Y},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/PereraBL18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/RockafellarR18,
author = {R. Tyrrell Rockafellar and
Johannes O. Royset},
title = {Superquantile/CVaR risk measures: second-order theory},
journal = {Ann. Oper. Res.},
volume = {262},
number = {1},
pages = {3--28},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2129-0},
doi = {10.1007/S10479-016-2129-0},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/RockafellarR18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/RyszPKP18,
author = {Maciej Rysz and
Foad Mahdavi Pajouh and
Pavlo A. Krokhmal and
Eduardo L. Pasiliao},
title = {Identifying risk-averse low-diameter clusters in graphs with stochastic
vertex weights},
journal = {Ann. Oper. Res.},
volume = {262},
number = {1},
pages = {89--108},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2212-6},
doi = {10.1007/S10479-016-2212-6},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/RyszPKP18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/SaidaP18,
author = {Abdallah Ben Saida and
Jean{-}Luc Prigent},
title = {On the robustness of portfolio allocation under copula misspecification},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {631--652},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2137-0},
doi = {10.1007/S10479-016-2137-0},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/SaidaP18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/SalahCGPT18,
author = {Hanene Ben Salah and
Mohamed Chaouch and
Ali Gannoun and
Christian de Peretti and
Abdelwahed Trabelsi},
title = {Mean and median-based nonparametric estimation of returns in mean-downside
risk portfolio frontier},
journal = {Ann. Oper. Res.},
volume = {262},
number = {2},
pages = {653--681},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2235-z},
doi = {10.1007/S10479-016-2235-Z},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/SalahCGPT18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/UryasevG18,
author = {Stan Uryasev and
Jun{-}ya Gotoh},
title = {Preface},
journal = {Ann. Oper. Res.},
volume = {262},
number = {1},
pages = {1--2},
year = {2018},
url = {https://doi.org/10.1007/s10479-017-2749-z},
doi = {10.1007/S10479-017-2749-Z},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/UryasevG18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/anor/YezerskaBB18,
author = {Oleksandra Yezerska and
Sergiy Butenko and
Vladimir Boginski},
title = {Detecting robust cliques in graphs subject to uncertain edge failures},
journal = {Ann. Oper. Res.},
volume = {262},
number = {1},
pages = {109--132},
year = {2018},
url = {https://doi.org/10.1007/s10479-016-2161-0},
doi = {10.1007/S10479-016-2161-0},
timestamp = {Thu, 13 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/anor/YezerskaBB18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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