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ORCIDComputational Management Science, Volume 15
Volume 15, Number 1, January 2018
- Giovanni Bonaccolto
, Massimiliano Caporin, Sandra Paterlini:
Asset allocation strategies based on penalized quantile regression. 1-32 - Paolo Barucca, Fabrizio Lillo:
The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market. 33-53 - Charles Gauvin, Erick Delage, Michel Gendreau:
A successive linear programming algorithm with non-linear time series for the reservoir management problem. 55-86 - Luckny Zéphyr, C. Lindsay Anderson:
Stochastic dynamic programming approach to managing power system uncertainty with distributed storage. 87-110 - Guanglin Xu, Samuel Burer:
A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming. 111-134
Volume 15, Number 2, June 2018
- Christina Erlwein-Sayer, Ronald Hochreiter:
Twenty-five years of applied mathematical programming and modelling. 135-137 - Thomas Trier Bjerring, Kourosh Marjani Rasmussen, Alex Weissensteiner:
Portfolio selection under supply chain predictability. 139-159 - Oleksandra Putyatina, Jörn Sass:
Approximation for portfolio optimization in a financial market with shot-noise jumps. 161-186 - Maram Al-Wohaibi, Diana Roman:
ALM models based on second order stochastic dominance. 187-211 - Yeliz Yolcu-Okur, Tilman Sayer, Bilgi Yilmaz, B. Alper Inkaya:
Computation of the Delta of European options under stochastic volatility models. 213-237 - Abdulwahab Animoku, Ömür Ugur, Yeliz Yolcu-Okur:
Modeling and implementation of local volatility surfaces in Bayesian framework. 239-258 - Heng Xiong, Rogemar S. Mamon:
Putting a price tag on temperature. 259-296 - Taras Bodnar, Yarema Okhrin, Valdemar Vitlinskyy, Taras Zabolotskyy:
Determination and estimation of risk aversion coefficients. 297-317
Volume 15, Numbers 3-4, October 2018
- David P. Morton, Ward Romeijnders, Rüdiger Schultz, Leen Stougie:
The stochastic programming heritage of Maarten van der Vlerk. 319-323 - Niels van der Laan, Ward Romeijnders, Maarten H. van der Vlerk:
Higher-order total variation bounds for expectations of periodic functions and simple integer recourse approximations. 325-349 - Weijun Xie, Shabbir Ahmed:
Distributionally robust simple integer recourse. 351-367 - Lars Hellemo, Paul I. Barton, Asgeir Tomasgard:
Decision-dependent probabilities in stochastic programs with recourse. 369-395 - Vit Prochazka, Stein W. Wallace:
Stochastic programs with binary distributions: structural properties of scenario trees and algorithms. 397-410 - Matthias Claus, Rüdiger Schultz, Kai Spürkel:
Strong convexity in risk-averse stochastic programs with complete recourse. 411-429 - Andrew B. Philpott, Vitor L. de Matos, Lea Kapelevich:
Distributionally robust SDDP. 431-454 - Eli Towle, James R. Luedtke:
New solution approaches for the maximum-reliability stochastic network interdiction problem. 455-477 - Laureano F. Escudero, Juan F. Monge:
On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management. 479-500 - Semih Atakan, Suvrajeet Sen:
A Progressive Hedging based branch-and-bound algorithm for mixed-integer stochastic programs. 501-540 - Jing Voon Chen, Julia L. Higle, Michael Hintlian:
A systematic approach for examining the impact of calibration uncertainty in disease modeling. 541-561 - Bismark Singh, David P. Morton, Surya Santoso:
An adaptive model with joint chance constraints for a hybrid wind-conventional generator system. 563-582 - Miguel A. Lejeune, Janne Kettunen:
A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting. 583-597 - Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali, Lorenzo Mercuri:
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming. 599-632
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