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Annals of Operations Research

1997 - 2018

Current editor(s): Endre Boros

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Volume 266, issue 7, 2018

Preface: analytical models for financial modeling and risk management pp. 1-4 Downloads
Constantin Zopounidis, Michalis Doumpos and Kyriaki Kosmidou
Portfolio diversification in the sovereign credit swap markets pp. 5-33 Downloads
Andrea Consiglio, Somayyeh Lotfi and Stavros A. Zenios
Corporate hedging: an answer to the “how” question pp. 35-69 Downloads
Jörgen Blomvall and Jonas Ekblom
Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk pp. 71-100 Downloads
Mariya Gubareva and Maria Rosa Borges
Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal’s simplex pp. 101-127 Downloads
Dirk Sierag and Bernard Hanzon
An analytical approximation for single barrier options under stochastic volatility models pp. 129-157 Downloads
Hideharu Funahashi and Tomohide Higuchi
Convexity adjustment for constant maturity swaps in a multi-curve framework pp. 159-181 Downloads
Nikolaos Karouzakis, John Hatgioannides and Kostas Andriosopoulos
Recent advancements in robust optimization for investment management pp. 183-198 Downloads
Jang Ho Kim, Woo Chang Kim and Frank J. Fabozzi
Robust risk budgeting pp. 199-221 Downloads
Michalis Kapsos, Nicos Christofides and Berc Rustem
On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets pp. 223-253 Downloads
A. Burak Paç and Mustafa Ç. Pınar
Risk minimization in multi-factor portfolios: What is the best strategy? pp. 255-291 Downloads
Philipp J. Kremer, Andreea Talmaciu and Sandra Paterlini
Robust equity portfolio performance pp. 293-312 Downloads
Jang Ho Kim, Woo Chang Kim, Do-Gyun Kwon and Frank J. Fabozzi
Optimal decision for the market graph identification problem in a sign similarity network pp. 313-327 Downloads
V. A. Kalyagin, A. P. Koldanov, P. A. Koldanov and P. M. Pardalos
Constant proportion portfolio insurance in defined contribution pension plan management pp. 329-348 Downloads
Busra Zeynep Temocin, Ralf Korn and A. Sevtap Selcuk-Kestel
Tracking hedge funds returns using sparse clones pp. 349-371 Downloads
Margherita Giuzio, Kay Eichhorn-Schott, Sandra Paterlini and Vincent Weber
Portfolio management with benchmark related incentives under mean reverting processes pp. 373-394 Downloads
Marco Nicolosi, Flavio Angelini and Stefano Herzel
Are financial ratios relevant for trading credit risk? Evidence from the CDS market pp. 395-440 Downloads
George Chalamandaris and Nikos E. Vlachogiannakis
Interdependencies between CDS spreads in the European Union: Is Greece the black sheep or black swan? pp. 441-498 Downloads
Dimitrios Koutmos
On Chinese stock markets: How have they evolved over time? pp. 499-510 Downloads
Sebastián Cano-Berlanga and José-Manuel Giménez-Gómez
Loan default prediction by combining soft information extracted from descriptive text in online peer-to-peer lending pp. 511-529 Downloads
Cuiqing Jiang, Zhao Wang, Ruiya Wang and Yong Ding
The effects of sector reforms on the productivity of Greek banks: a step-by-step analysis of the pre-Euro era pp. 531-549 Downloads
Panagiotis Tziogkidis, Kent Matthews and Dionisis Philippas
Assessing efficiency profiles of UK commercial banks: a DEA analysis with regression-based feedback pp. 551-587 Downloads
Jamal Ouenniche and Skarleth Carrales
A combined methodology for the concurrent evaluation of the business, financial and sports performance of football clubs: the case of France pp. 589-612 Downloads
Emilios Galariotis, Christophe Germain and Constantin Zopounidis

Volume 265, issue 6, 2018

Paths, pivots, and practice: the power of optimization pp. 1-4 Downloads
Miguel F. Anjos and Antoine Deza
Computational study of valid inequalities for the maximum k-cut problem pp. 5-27 Downloads
Vilmar Jefté Rodrigues de Sousa, Miguel F. Anjos and Sébastien Le Digabel
On component commonality for periodic review assemble-to-order systems pp. 29-46 Downloads
Antoine Deza, Kai Huang, Hongfeng Liang and Xiao Jiao Wang
Combinatorial redundancy detection pp. 47-65 Downloads
Komei Fukuda, Bernd Gärtner and May Szedlák
A numerical evaluation of the bounded degree sum-of-squares hierarchy of Lasserre, Toh, and Yang on the pooling problem pp. 67-92 Downloads
Ahmadreza Marandi, Joachim Dahl and Etienne Klerk
Efficient solution of many instances of a simulation-based optimization problem utilizing a partition of the decision space pp. 93-118 Downloads
Zuzana Nedělková, Peter Lindroth, Michael Patriksson and Ann-Brith Strömberg
How difficult is nonlinear optimization? A practical solver tuning approach, with illustrative results pp. 119-141 Downloads
János D. Pintér
Graph bisection revisited pp. 143-154 Downloads
Renata Sotirov
LP-based tractable subcones of the semidefinite plus nonnegative cone pp. 155-182 Downloads
Akihiro Tanaka and Akiko Yoshise
Cognitive systems and operations research in big data and cloud computing pp. 183-186 Downloads
Marek R. Ogiela and Hoon Ko
Indoor localization and navigation using smartphone sensory data pp. 187-204 Downloads
Hui-Huang Hsu, Jung-Kuei Chang, Wei-Jan Peng, Timothy K. Shih, Tun-Wen Pai and Ka Lok Man
Optimal column subset selection for image classification by genetic algorithms pp. 205-222 Downloads
Pavel Krömer, Jan Platoš, Jana Nowaková and Václav Snášel
Human actions recognition from motion capture recordings using signal resampling and pattern recognition methods pp. 223-239 Downloads
Tomasz Hachaj, Marek R. Ogiela and Katarzyna Koptyra
Experimental comparisons with respect to the usage of the promising relations in EDA-based causal discovery pp. 241-255 Downloads
Song Ko, Hyunki Lim, Hoon Ko and Dae-Won Kim
A service model for nutrition supplement prediction based on Fuzzy Bayes model using bigdata in livestock pp. 257-268 Downloads
Saraswathi Sivamani, Jongsun Choi and Yongyun Cho
Including cognitive aspects in multiple criteria decision analysis pp. 269-291 Downloads
João Carneiro, Luís Conceição, Diogo Martinho, Goreti Marreiros and Paulo Novais
New paradigms of cognitive management extending computational intelligence approaches pp. 293-304 Downloads
Lidia Ogiela and Urszula Ogiela
Improved performance optimization for massive small files in cloud computing environment pp. 305-317 Downloads
Chang Choi, Chulwoong Choi, Junho Choi and Pankoo Kim

Volume 264, issue 5, 2018

Modelling and analysis of hub-and-spoke networks under stochastic demand and congestion pp. 1-40 Downloads
Nader Azizi, Navneet Vidyarthi and Satyaveer S. Chauhan
Efficient extensions of communication values pp. 41-56 Downloads
Sylvain Béal, André Casajus and Frank Huettner
Dantzig–Wolfe decomposition approach to the vehicle assignment problem with demand uncertainty in a hybrid hub-and-spoke network pp. 57-87 Downloads
Jiyoung Choi, Chungmok Lee and Sungsoo Park
A variational inequality formulation for designing a multi-echelon, multi-product supply chain network in a competitive environment pp. 89-121 Downloads
Isa Feyzian-Tary, Jafar Razmi and Mohamad Sadegh Sangari
A joint chance-constrained programming approach for the single-item capacitated lot-sizing problem with stochastic demand pp. 123-155 Downloads
Céline Gicquel and Jianqiang Cheng
Functional law of the iterated logarithm for multi-server queues with batch arrivals and customer feedback pp. 157-191 Downloads
Yongjiang Guo, Yunan Liu and Renhu Pei
A column generation approach and new bounds for the car sequencing problem pp. 193-211 Downloads
Eivind Jahren and Roberto Asín Achá
A directional semi-oriented radial DEA measure: an application on financial stability and the efficiency of banks pp. 213-234 Downloads
Sepideh Kaffash, Reza Kazemi Matin and Mohammad Tajik
Representation-compatible power indices pp. 235-265 Downloads
Serguei Kaniovski and Sascha Kurz
And/or-convexity: a graph convexity based on processes and deadlock models pp. 267-286 Downloads
Carlos V. G. C. Lima, Fábio Protti, Dieter Rautenbach, Uéverton S. Souza and Jayme L. Szwarcfiter
Perfect edge domination: hard and solvable cases pp. 287-305 Downloads
Min Chih Lin, Vadim Lozin, Veronica A. Moyano and Jayme L. Szwarcfiter
Network DEA-based biobjective optimization of product flows in a supply chain pp. 307-323 Downloads
Sebastian Lozano and Belarmino Adenso-Diaz
Assignment of swimmers to events in a multi-team meeting for team global performance optimization pp. 325-337 Downloads
Simona Mancini
Using forward Monte-Carlo simulation for the valuation of American barrier options pp. 339-366 Downloads
Daniel Wei-Chung Miao, Yung-Hsin Lee and Jr-Yan Wang
A novel DEA model based on uncertainty theory pp. 367-389 Downloads
Zahra Mohmmad Nejad and Alireza Ghaffari-Hadigheh
Financial hedging and competitive strategy for value-maximizing firms under quantity competition pp. 391-407 Downloads
Jian Ni, Lap Keung Chu and Shoude Li
Dispatching algorithm for production programming of flexible job-shop systems in the smart factory industry pp. 409-433 Downloads
Miguel A. Ortíz, Leidy E. Betancourt, Kevin Parra Negrete, Fabio Felice and Antonella Petrillo
Accelerating the diffusion of innovations under mixed word of mouth through marketing–operations interaction pp. 435-458 Downloads
Fouad El Ouardighi, Gustav Feichtinger and Gila E. Fruchter
Optimal inventory policies for deteriorating items with trapezoidal-type demand patterns and maximum lifetimes under upstream and downstream trade credits pp. 459-476 Downloads
Jiang Wu, Jinn-Tsair Teng and Konstantina Skouri
Daily aircraft routing for amphibious ready groups pp. 477-498 Downloads
Ertan Yakıcı, Robert F. Dell, Travis Hartman and Connor McLemore
The impact of manufacturer’s encroachment and nonlinear production cost on retailer’s information sharing decisions pp. 499-539 Downloads
Daozhi Zhao and Zhibao Li
Correction to: Fair ticket pricing in public transport as a constrained cost allocation game pp. 541-541 Downloads
Ralf Borndörfer and Nam-Dũng Hoang
Correction to: Short-term manpower planning for MRT carriage maintenance under mixed deterministic and stochastic demands pp. 543-543 Downloads
Chia-Hung Chen, Shangyao Yan and Miawjane Chen
Correction to: Time symmetry of resource constrained project scheduling with general temporal constraints and take-give resources pp. 545-545 Downloads
Zdeněk Hanzálek and Přemysl Šůcha
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