Annals of Operations Research

1997 - 2025

Current editor(s): Endre Boros

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Volume 346, month 3, 2025

Investments: the (almost) century of Markowitz Harry Markowitz: portfolio selection scholar, simulation creator, and applied investment researcher and consultant extraordinaire pp. 1-8

John Guerard

Harry Markowitz and my AFA presidential address pp. 9-13

Martin J. Gruber

Another puzzle: the growth in actively managed mutual funds pp. 15-39

Martin J. Gruber

I never took a class from Harry Markowitz pp. 41-42

Edwin J. Elton

Expected return, realized return and asset pricing tests pp. 43-61

Edwin J. Elton

In a memory of the late Harry Markowitz pp. 63-64

Haim Levy

If you get to San Diego, let’s do lunch or dinner… pp. 65-66

Panos Xidonas

Portfolio insurance, portfolio theory, market simulation, and risks of portfolio leverage pp. 67-97

Bruce I. Jacobs and Kenneth N. Levy

Harry Markowitz, the Cowles Commission, and portfolio theory pp. 99-111

Robert W. Dimand

Harry Markowitz’s contributions to utility theory pp. 113-125

Jack Clark Francis

Relative risk aversion must be close to 1 pp. 127-135

Moshe Levy

Portfolio selection revisited pp. 137-155

Alex Shkolnik, Alec Kercheval, Hubeyb Gurdogan, Lisa R. Goldberg and Haim Bar

To revise or not to revise? This is the question pp. 157-179

Haim Levy

Dual dominance: how Harry Markowitz and William Ziemba impacted portfolio management pp. 181-216

Sébastien Lleo and Leonard C. MacLean

Enhancing mean–variance portfolio optimization through GANs-based anomaly detection pp. 217-244

Jang Ho Kim, Seyoung Kim, Yongjae Lee, Woo Chang Kim and Frank J. Fabozzi

Improving estimation of portfolio risk using new statistical factors pp. 245-261

Xialu Liu, John Guerard, Rong Chen and Ruey Tsay

The maximum geometric mean criterion: revisiting the Markowitz–Samuelson debate: survey and analysis pp. 263-284

Haim Levy

Dynamic asset allocation with asset-specific regime forecasts pp. 285-318

Yizhan Shu, Chenyu Yu and John M. Mulvey

Enhancing Markowitz's portfolio selection paradigm with machine learning pp. 319-340

Marcos López de Prado, Joseph Simonian, Francesco A. Fabozzi and Frank J. Fabozzi

Mean-variance optimization with inferred regimes pp. 341-368

Leonard MacLean, Yonggan Zhao and Oufan Zhang

Long-range dependence and asset return anomaly pp. 369-391

Yun Xiang and Shijie Deng

Earnings forecasting and mean–variance efficient portfolios in the United States pp. 393-414

John B. Guerard, Dimitrios Thomakos, Foteini Kyriazi, Ganlin Xu and Bijan Beheshti

Optimal asset allocation and nonlinear return predictability from the dividend-price ratio pp. 415-445

Fabrizio Ghezzi, Anindo Sarkar, Thomas Quistgaard Pedersen and Allan Timmermann

Improving empirical models and forecasts with saturation-based machine learning pp. 447-487

Andrew Martinez and Neil R. Ericsson

Alternatives to classical option pricing pp. 489-509

W. Brent Lindquist and Svetlozar T. Rachev

Model-based vs. agnostic methods for the prediction of time-varying covariance matrices pp. 511-548

Jean-David Fermanian, Benjamin Poignard and Panos Xidonas

Seasonal affective disorder and currency markets pp. 549-565

John Arabadjis, Michael Melvin, Robert Savage and John Velis

The Ashley and Patterson (1986) test for serial independence in daily stock returns, revisited pp. 567-584

Richard A. Ashley and Faezeh Najafi

Inflation differentials and the diversification benefits of small cap equities in emerging markets for US investors pp. 585-622

Lorne N. Switzer and Mashal Dhamani

Conditional shortfall risk of lifetime consumption pp. 623-644

Tom Anichini, Jim Grabot, Sherrie Grabot, Ming Yee Wang, Ganlin Xu and Louis Zijl

Vanguard and Fidelity active stock funds: both generally beat their same-style Vanguard index funds pp. 645-656

Edward Tower

Mean-variance and mean-ETL optimizations in portfolio selection: an update pp. 657-671

Barret Pengyuan Shao, John B. Guerard and Ganlin Xu

Markowitz and the CAPM pp. 673-691

Yusif Simaan

Dollarization in Ecuador: 2000–2024 pp. 693-701

Michael Connolly

Multiple objective programming and goal programming: making better decisions with artificial intelligence and business analytics pp. 703-704

Davide La Torre and Hatem Masri

Assessing resilience and sustainability of suppliers: an extension and application of data envelopment analytical hierarchy process pp. 705-750

Majid Azadi, Zohreh Moghaddas and Reza Farzipoor Saen

Multi-item order quantity optimization through stochastic goal programing pp. 751-779

Alireza Azimian and Belaid Aouni

A multi-objective optimization approach for resource allocation and transportation planning in institutional quarantine centres pp. 781-825

Saptadeep Biswas, Prasad Belamkar, Deepshikha Sarma, Erfan Babaee Tirkolaee and Uttam Kumar Bera

The impact of sparsity and entropy criteria on neural network performance pp. 827-838

Bryson Boreland, Herb Kunze and Kim Levere

Balancing bank profits and nonperforming loans: a multiple objective programming approach pp. 839-860

Sabri Boubaker, Tu D. Q. Le, Riadh Manita and Thanh Ngo

Three multi-objective memetic algorithms for observation scheduling problem of active-imaging agile earth observation satellites pp. 861-893

Zhongxiang Chang and Zhongbao Zhou

Adjustable robust multiobjective linear optimization: Pareto optimal solutions via conic programming pp. 895-916

T. D. Chuong and V. Jeyakumar

The relevance of goal programming for financial portfolio management: a bibliometric and systematic literature review pp. 917-943

Cinzia Colapinto and Issam Mejri

Scheduling technicians and tasks through an adaptive multi-objective biased random-key genetic algorithm pp. 945-980

R. B. Damm, A. A. Chaves, J. A. Riveaux and D. P. Ronconi

Integrated DANP and binary goal programming model in generating joint-decision making for packaging postponement and supplier selection pp. 981-1010

Ivan Gunawan, Dian Trihastuti, Ajay Kumar and Kim Hua Tan

Evolution of neural architectures for financial forecasting: a note on data incompatibility during crisis periods pp. 1011-1025

Faizal Hafiz, Jan Broekaert and Akshya Swain

Health care network design with multiple objectives and stakeholders pp. 1027-1062

Aliakbar Hasani, Majid Eskandarpour and Dylan Jones

A multi-period multi-season multi-objective mathematical model for guaranteeing the viability of supply chains under fluctuations: a healthcare closed-loop supply chain application pp. 1063-1108

Zahra Hussaini, Arash Nemati and Mohammad Mahdi Paydar

Calculating Nash equilibrium on quantum annealers pp. 1109-1126

Faisal Shah Khan, Olga Okrut, Keith Cannon, Kareem H. El-Safty and Nada Elsokkary

Assessing risk of supply chain disruption due to COVID-19 with fuzzy VIKORSort pp. 1127-1152

Jehangir Khan, Alessio Ishizaka and Sachin Kumar Mangla

A decision framework for supplier selection and order allocation for environmentally-sustainable perishable food supply chains pp. 1153-1185

Anish Kumar, Sachin Kumar Mangla and Pradeep Kumar

A generalized approach for multi-criteria decision aid methods pp. 1187-1215

Moussa Larbani and Belaid Aouni

Exploiting experts’ asymmetric knowledge structures for consensus reaching: a multi-criteria group decision making model with three-way conflict analysis and opinion dynamics pp. 1217-1255

Decui Liang, Qiang Zheng and Zeshui Xu

Residential choice from a multiple criteria sustainable perspective pp. 1257-1268

V. Liern, B. Pérez-Gladish, F. Rubiera-Morollón and B. M’Zali

Optimizing healthcare workforce for effective patient care: a cooperative game theory approach pp. 1269-1283

Dan Liu, Ji Wu, Nisreen Innab, Wejdan Deebani, Meshal Shutaywi, Tiziana Ciano and Massimiliano Ferrara

Managing risks in technological R&D projects with Probability-Impact AHPSort pp. 1285-1320

Cristina López, Arash Moheimani and Alessio Ishizaka

Determining the underlying role of corporate sustainability criteria in a ranking problem using UW-TOPSIS pp. 1321-1344

A. López-García, V. Liern and B. Pérez-Gladish

Optimization of multistage timeliness transit consolidation problem using adaptive-weighted genetic algorithm pp. 1345-1376

Bowen Lv, Bin Yang and Ek Peng Chew

A dynamic game approach for optimal consumption, investment and life insurance problem pp. 1377-1398

Rosario Maggistro, Mario Marino and Antonio Martire

On optimistic, pessimistic and mixed fuzzy-programming based approaches to solve multi-objective fully intuitionistic fuzzy linear fractional programming problems pp. 1399-1443

Manisha Malik and S. K. Gupta

A multi-objective optimization model for a multi-period mobile facility location problem with environmental and disruption considerations pp. 1445-1470

Fouad Maliki, Mehdi Souier, Mohammed Dahane and Fouad Ben Abdelaziz

A multiobjective coalition formation in facility and fleet sharing for resilient horizontal supply chain collaboration pp. 1471-1496

Mirna Abou Mjahed, Fouad Ben Abdelaziz and Hussein Tarhini

Robust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA pp. 1497-1552

Naeem Mohseny-Tonekabony, Seyed Jafar Sadjadi, Emran Mohammadi, Mehrdad Tamiz and Dylan F. Jones

A multi-objective pair trading strategy: integrating neural networks and cyclical insights for optimal trading performance pp. 1553-1572

Federico Platania, Francesco Appio, Celina Toscano Hernandez, Imane El Ouadghiri and Jonathan Peillex

An analytical derivation of properly efficient sets in multi-objective portfolio selection pp. 1573-1595

Yue Qi and Ralph E. Steuer

A novel deep learning approach to enhance creditworthiness evaluation and ethical lending practices in the economy pp. 1597-1619

Xiaoyan Qian, Helen Huifen Cai, Nisreen Innab, Danni Wang, Tiziana Ciano and Ali Ahmadian

Multicriteria interpretability driven deep learning pp. 1621-1635

Marco Repetto

Artificial intelligence driven demand forecasting: an application to the electricity market pp. 1637-1651

Marco Repetto, Cinzia Colapinto and Muhammad Usman Tariq

A systematization of global well-posedness in vector optimization pp. 1653-1669

Matteo Rocca

Sensitivity to uncertainty and scalarization in robust multiobjective optimization: an overview with application to mean-variance portfolio optimization pp. 1671-1686

Matteo Rocca

Sustainability and intermodality in humanitarian logistics: a two-stage multi-objective programming formulation pp. 1687-1716

Oscar Rodríguez-Espíndola, Prasanta Dey, Pavel Albores and Soumyadeb Chowdhury

Integrated planning for a global pharmaceutical supply chain: an ambidexterity perspective pp. 1717-1766

Mahsa Yousefi Sarmad, Mir Saman Pishvaee, Hamed Jahani, Seyed Mohammad Sadegh Khaksar and Dmitry Ivanov

Modified goal programming approach for solving multi-objective environmental management problem pp. 1767-1783

Sujeet Kumar Singh and Vinay Yadav

Analytic hierarchy process rank reversals: causes and solutions pp. 1785-1809

Jiancheng Tu and Zhibin Wu

A multi-objective optimization approach for integrated risk-based internal audit planning pp. 1811-1840

Xiong Wang, Fernando A. F. Ferreira and Pengyu Yan

Balancing energy consumption and thermal comfort in buildings: a multi-criteria framework pp. 1841-1867

Mubashir Wani, Faizal Hafiz, Akshya Swain and Jan Broekaert

Sustainable competitive advantage in maternal and child health institutions: a dynamic capability approach pp. 1869-1895

Haibin Yuan and Fernando A. F. Ferreira

Robust simulation-based optimization for multiobjective problems with constraints pp. 1897-1927

Liang Zheng, Ji Bao and Zhen Tan

MGDE: a many-objective guided differential evolution with strengthened dominance relation and bi-goal evolution pp. 1929-1966

Djaafar Zouache and Fouad Ben Abdelaziz

Integrating multiple sources of ordinal information in portfolio optimization pp. 1967-1995

Eranda Çela, Stephan Hafner, Roland Mestel and Ulrich Pferschy

Optimizing wireless sensor networks deployment with coverage and connectivity requirements pp. 1997-2008

Luigi Di Puglia Pugliese, Francesca Guerriero and Nathalie Mitton

Short-term interval-valued load forecasting with a combined strategy of iHW and multioutput machine learning pp. 2009-2033

Feng Gao, Jie Song and Xueyan Shao

Non-cooperative two-stage inverse DEA: a Stackelberg games approach for the efficiency analysis of China’s regional economic development and people’s living standards pp. 2035-2063

Mojtaba Ghiyasi, Luyao Zhao and Weiwei Zhu

Draw procedures for balanced 3-team group rounds in sports competitions pp. 2065-2092

Pablo Laliena and F. Javier López

Achieving win–win situation: strategy decisions on hotel CO2 emission reduction with customer involvement pp. 2093-2139

Yaqin Lin, Chun-Hung Chiu and Xingcheng Guo

Ensemble learning algorithms based on easyensemble sampling for financial distress prediction pp. 2141-2172

Wei Liu, Yoshihisa Suzuki and Shuyi Du

Scheduling problems on parallel dedicated machines with non-renewable resource pp. 2173-2193

Baruch Mor and Joanna Berlińska

Optimal carrier selection to improve logistics network reliability with delivery spoilage pp. 2195-2223

Yi-Feng Niu, Meng-Meng Yuan and Xiu-Zhen Xu

Multi-stage stochastic districting: optimization models and solution algorithms pp. 2225-2251

Anika Pomes, Antonio Diglio, Stefan Nickel and Francisco Saldanha-da-Gama

A non-parametric analysis of world productivity growth, 1990–2019 pp. 2253-2285

Paul W. Wilson and Shirong Zhao

A 5-approximation algorithm for the traveling tournament problem pp. 2287-2305

Jingyang Zhao and Mingyu Xiao

An exact approach for bi-objective non-identical batch processing machines scheduling pp. 2307-2347

Shaoxiang Zheng, Naiming Xie and Qiao Wu

Product line strategy for green and non-green products in hybrid platform retailing pp. 2349-2385

Shengliang Zong, Longbing Zhang and Ruoxi Lei

A note on valid inequalities for a service center location problem with a type of decision-dependent customer demand pp. 2387-2400

Fengqiao Luo

Investigating the impact of undersampling and bagging: an empirical investigation for customer attrition modeling pp. 2401-2421

Arno Caigny, Kristof Coussement, Matthijs Meire and Steven Hoornaert

Prediction and decoding of metaverse coin dynamics: a granular quest using MODWT-Facebook’s prophet-TBATS and XAI methodology pp. 2423-2459

Indranil Ghosh, Amith Vikram Megaravalli, Mohammad Zoynul Abedin and Kazim Topuz

Understanding cultural stress and mental health among Latinos in the us: probabilistic omnidirectional inference model pp. 2461-2481

Sumeyra Sahbaz, Kazim Topuz, Seth J. Schwartz and Pablo Montero-Zamora