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Annals of Operations Research

1997 - 2021

Current editor(s): Endre Boros

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Volume 301, issue 6, 2021

Preface: SING 14 pp. 1-4 Downloads
Encarnación Algaba, René den Brink, Michel Grabisch and Frank Steffen
Cost additive rules in minimum cost spanning tree problems with multiple sources pp. 5-15 Downloads
Gustavo Bergantiños and Leticia Lorenzo
Does it make sense to analyse a two-sided market as a multi-choice game? pp. 17-40 Downloads
R. Branzei, E. Gutiérrez, N. Llorca and J. Sánchez-Soriano
Proportional bargaining solutions, strictly comprehensive sets and the axiom of continuity pp. 41-53 Downloads
Luís Carvalho
The Egalitarian Shapley value: a generalization based on coalition sizes pp. 55-63 Downloads
Dhrubajit Choudhury, Surajit Borkotokey, Rajnish Kumar and Sudipta Sarangi
Proportionality, equality, and duality in bankruptcy problems with nontransferable utility pp. 65-80 Downloads
B. Dietzenbacher, A. Estévez-Fernández, P. Borm and R. Hendrickx
On how to allocate the fixed cost of transport systems pp. 81-105 Downloads
Teresa Estañ, Natividad Llorca, Ricardo Martínez and Joaquín Sánchez-Soriano
Games and cost of change pp. 107-119 Downloads
Sjur Didrik Flåm
Revenue sharing for resource reallocation among project activity contractors pp. 121-141 Downloads
Xiaowei Lin, Jing Zhou, Lianmin Zhang and Yinlian Zeng
Uncertainty in cooperative interval games: how Hurwicz criterion compatibility leads to egalitarianism pp. 143-159 Downloads
Lina Mallozzi and Juan Vidal-Puga
A value for communication situations with players having different bargaining abilities pp. 161-182 Downloads
C. Manuel and D. Martín
On the costly voting model: the mean rule pp. 183-198 Downloads
Anna Panova
Sampling methods to estimate the Banzhaf–Owen value pp. 199-223 Downloads
A. Saavedra-Nieves and M. G. Fiestras-Janeiro
The Banzhaf value for generalized probabilistic communication situations pp. 225-244 Downloads
Jilei Shi and Erfang Shan
Campaigning internally or externally pp. 245-267 Downloads
Shyh-Fang Ueng
Computing equilibria for markets with constant returns production technologies pp. 269-284 Downloads
Yang Zhan and Chuangyin Dang

Volume 300, issue 5, 2021

E-differentiable minimax programming under E-convexity pp. 1-22 Downloads
Tadeusz Antczak and Najeeb Abdulaleem
Combinatorial two-stage minmax regret problems under interval uncertainty pp. 23-50 Downloads
Marc Goerigk, Adam Kasperski and Paweł Zieliński
A functional law of the iterated logarithm for multi-class queues with batch arrivals pp. 51-77 Downloads
Yongjiang Guo, Xiyang Hou and Yunan Liu
Herding and feedback trading in cryptocurrency markets pp. 79-96 Downloads
Timothy King and Dimitrios Koutmos
Capacity reallocation via sinking high-quality resource in a hierarchical healthcare system pp. 97-135 Downloads
Zhong-Ping Li, Jian-Jun Wang, Ai-Chih Chang and Jim Shi
A minimax approach for selecting the overall and stage-level most efficient unit in two stage production processes pp. 137-169 Downloads
Volkan Soner Özsoy, Mediha Örkcü and H. Hasan Örkcü
Variance reduction for sequential sampling in stochastic programming pp. 171-204 Downloads
Jangho Park, Rebecca Stockbridge and Güzin Bayraksan
The worst-case payoff in games with stochastic revision opportunities pp. 205-224 Downloads
Yevgeny Tsodikovich
Joint inspection and inventory control for deteriorating items with time-dependent demand and deteriorating rate pp. 225-265 Downloads
Yue Xie, Allen H. Tai, Wai-Ki Ching, Yong-Hong Kuo and Na Song
Approximation algorithms for some min–max postmen cover problems pp. 267-287 Downloads
Wei Yu, Zhaohui Liu and Xiaoguang Bao
Determination of early warning time window for bottleneck resource buffer pp. 289-305 Downloads
Junguang Zhang and Dan Wan
Sequential data envelopment analysis pp. 307-312 Downloads
Rolf Färe and Valentin Zelenyuk
Preface: recent advances in knowledge modelling and decision making with uncertainties pp. 313-317 Downloads
Huynh Van-Nam and Hong-Bin Yan
A survey of decision making and optimization under uncertainty pp. 319-353 Downloads
Andrew J. Keith and Darryl K. Ahner
On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return pp. 355-368 Downloads
Justin Dzuche, Christian Deffo Tassak, Jules Sadefo and Louis Aimé Fono
Fuzzy measures for fuzzy cross efficiency in data envelopment analysis pp. 369-398 Downloads
Shiang-Tai Liu and Yueh-Chiang Lee
State-of-charge estimation based on theory of evidence and interval analysis with differential evolution optimization pp. 399-414 Downloads
Suradej Duangpummet, Jessada Karnjana and Waree Kongprawechnon
An interval type-2 fuzzy model of compliance monitoring for quality of web service pp. 415-441 Downloads
Mohd Hilmi Hasan, Jafreezal Jaafar, Junzo Watada, Mohd Fadzil Hassan and Izzatdin Abdul Aziz
Consensus reaching for MAGDM with multi-granular hesitant fuzzy linguistic term sets: a minimum adjustment-based approach pp. 443-466 Downloads
Wenyu Yu, Zhen Zhang and Qiuyan Zhong
Forecasting tourism demand using fractional grey prediction models with Fourier series pp. 467-491 Downloads
Yi-Chung Hu
Joint sentence and aspect-level sentiment analysis of product comments pp. 493-513 Downloads
Long Mai and Bac Le
Identifying lead users in online user innovation communities based on supernetwork pp. 515-543 Downloads
Xiao Liao, Guangyu Ye, Juan Yu and Yunjiang Xi
Does the Kuznets curve exist in Thailand? A two decades’ perspective (1993–2015) pp. 545-576 Downloads
Paravee Maneejuk, Woraphon Yamaka and Songsak Sriboonchitta
Technology adoption with carbon emission trading mechanism: modeling with heterogeneous agents and uncertain carbon price pp. 577-600 Downloads
Chenhao Fang and Tieju Ma
Incorporation of life cycle emissions and carbon price uncertainty into the supply chain network management of PVC production pp. 601-620 Downloads
Hongtao Ren, Wenji Zhou, Marek Makowski, Hongbin Yan, Yadong Yu and Tieju Ma
Strategic information sharing in online retailing under a consignment contract with revenue sharing pp. 621-641 Downloads
Tatyana Chernonog

Volume 299, issue 4, 2021

Preface: recent developments in financial modelling and risk management pp. 1-5 Downloads
Roy Cerqueti, Rita Laura D’Ecclesia and Susanna Levantesi
Dealing with complex transaction costs in portfolio management pp. 7-22 Downloads
Patrizia Beraldi, Antonio Violi, Massimiliano Ferrara, Claudio Ciancio and Bruno Antonio Pansera
Minimum Rényi entropy portfolios pp. 23-46 Downloads
Nathan Lassance and Frédéric Vrins
Fused Lasso approach in portfolio selection pp. 47-59 Downloads
Stefania Corsaro, Valentina De Simone and Zelda Marino
Asset allocation: new evidence through network approaches pp. 61-80 Downloads
Gian Paolo Clemente, Rosanna Grassi and Asmerilda Hitaj
Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment pp. 81-99 Downloads
Alessia Naccarato, Andrea Pierini and Giovanna Ferraro
The value of knowing the market price of risk pp. 101-131 Downloads
Katia Colaneri, Stefano Herzel and Marco Nicolosi
Optimal convergence trading with unobservable pricing errors pp. 133-161 Downloads
Sühan Altay, Katia Colaneri and Zehra Eksi
Google search volumes for portfolio management: performances and asset concentration pp. 163-175 Downloads
Mario Maggi and Pierpaolo Uberti
Better to stay apart: asset commonality, bipartite network centrality, and investment strategies pp. 177-213 Downloads
Andrea Flori, Fabrizio Lillo, Fabio Pammolli and Alessandro Spelta
Optimal investment strategies with a minimum performance constraint pp. 215-239 Downloads
Emilio Barucci, Daniele Marazzina and Elisa Mastrogiacomo
A decision-dependent randomness stochastic program for asset–liability management model with a pricing decision pp. 241-271 Downloads
Miloš Kopa and Tomáš Rusý
Pension fund management with investment certificates and stochastic dominance pp. 273-292 Downloads
Sebastiano Vitali and Vittorio Moriggia
Multi-asset scenario building for trend-following trading strategies pp. 293-315 Downloads
Andreas Thomann
Investment and operational decisions for start-up companies: a game theory and Markov decision process approach pp. 317-330 Downloads
Thomas W. Archibald and Edgar Possani
What if versus probabilistic scenarios: a neuroscientific analysis pp. 331-347 Downloads
Rosella Castellano, Marco Mancinelli, Giorgia Ponsi and Gaetano Tieri
Investor behavior and weather factors: evidences from Asian region pp. 349-373 Downloads
Chinnadurai Kathiravan, Murugesan Selvam, Sankaran Venkateswar and S. Balakrishnan
Money’s importance from the religious perspective pp. 375-399 Downloads
Claudiu Herteliu, Ionel Jianu, Iulia Jianu, Vasile Catalin Bobb, Gurjeet Dhesi, Sebastian Ion Ceptureanu, Eduard Gabriel Ceptureanu and Marcel Ausloos
CVA and vulnerable options pricing by correlation expansions pp. 401-427 Downloads
F. Antonelli, A. Ramponi and S. Scarlatti
Fair prices under a unified lattice approach for interest rate derivatives pp. 429-441 Downloads
Giacomo Morelli
Crypto price discovery through correlation networks pp. 443-457 Downloads
Paolo Giudici and Gloria Polinesi
Detecting bubbles in Bitcoin price dynamics via market exuberance pp. 459-479 Downloads
Alessandra Cretarola and Gianna Figà-Talamanca
Banks’ business strategies on the edge of distress pp. 481-530 Downloads
Andrea Flori, Simone Giansante, Claudia Girardone and Fabio Pammolli
Forecasting bankruptcy using biclustering and neural network-based ensembles pp. 531-566 Downloads
Philippe Jardin
Measuring credit crunch in Italy: evidence from a survey-based indicator pp. 567-592 Downloads
Alessandro Girardi and Marco Ventura
The interconnectedness of the economic content in the speeches of the US Presidents pp. 593-615 Downloads
Matteo Cinelli, Valerio Ficcadenti and Jessica Riccioni
Making the Eurozone work: a risk-sharing reform of the European Stability Mechanism pp. 617-657 Downloads
Giovanni Dosi, Marcello Minenna, Andrea Roventini and Roberto Violi
A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations pp. 659-710 Downloads
Dawen Yan, Xiaohui Zhang and Mingzheng Wang
Liquidity drops pp. 711-719 Downloads
Giacomo Morelli
Assessing the impact of incomplete information on the resilience of financial networks pp. 721-745 Downloads
Matteo Cinelli, Giovanna Ferraro, Antonio Iovanella and Giulia Rotundo
Capital allocation and RORAC optimization under solvency 2 standard formula pp. 747-763 Downloads
Fabio Baione, Paolo Angelis and Ivan Granito
Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system pp. 765-795 Downloads
Pierre Devolder, Susanna Levantesi and Massimiliano Menzietti
Pension schemes versus real estate pp. 797-809 Downloads
V. D’Amato, E. Lorenzo, S. Haberman, M. Sibillo and R. Tizzano
Enterprise risk management and economies of scale and scope: evidence from the German insurance industry pp. 811-845 Downloads
Muhammed Altuntas, Thomas R. Berry-Stölzle and J. David Cummins
Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy pp. 847-871 Downloads
Davide Benedetti, Enrico Biffis, Fotis Chatzimichalakis, Luciano Lilloy Fedele and Ian Simm
Internal hedging of intermittent renewable power generation and optimal portfolio selection pp. 873-893 Downloads
Carlo Lucheroni and Carlo Mari
Long memory and crude oil’s price predictability pp. 895-906 Downloads
Roy Cerqueti and Viviana Fanelli
Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches pp. 907-937 Downloads
Sebastian Maier
Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas pp. 939-962 Downloads
Simona Franzoni and Cristian Pelizzari
The European gas market: new evidences pp. 963-999 Downloads
Vera Jotanovic and Rita Laura D’Ecclesia
Managing foreign exchange risk with buyer–supplier contracts pp. 1001-1024 Downloads
Latha Shanker and Ahmet Satir
Model risk in real option valuation pp. 1025-1056 Downloads
Carol Alexander and Xi Chen
Comonotonicity and low volatility effect pp. 1057-1099 Downloads
Wan-Ni Lai, Yi-Ting Chen and Edward W. Sun
Volatility in the stock market: ANN versus parametric models pp. 1101-1127 Downloads
Rita Laura D’Ecclesia and Daniele Clementi
Peer effects in risk preferences: Evidence from Germany pp. 1129-1163 Downloads
Mark J. Browne, Annette Hofmann, Andreas Richter, Sophie-Madeleine Roth and Petra Steinorth
Systemic risk assessment through high order clustering coefficient pp. 1165-1187 Downloads
Roy Cerqueti, Gian Paolo Clemente and Rosanna Grassi
Evidence regarding external financing in manufacturing MSEs using partial least squares regression pp. 1189-1202 Downloads
Eduard Gabriel Ceptureanu, Sebastian Ceptureanu and Claudiu Herteliu
Testing for persistence in US mutual funds’ performance: a Bayesian dynamic panel model pp. 1203-1233 Downloads
Emmanuel Mamatzakis and Mike G. Tsionas
Modeling the flow of information between financial time-series by an entropy-based approach pp. 1235-1252 Downloads
F. Benedetto, L. Mastroeni and P. Vellucci
Modelling tail risk with tempered stable distributions: an overview pp. 1253-1280 Downloads
Hasan Fallahgoul and Gregoire Loeper
Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation pp. 1281-1315 Downloads
Matthew Norton, Valentyn Khokhlov and Stan Uryasev
Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? pp. 1317-1356 Downloads
Massimo Guidolin and Manuela Pedio
Atheoretical Regression Trees for classifying risky financial institutions pp. 1357-1377 Downloads
Carmela Cappelli, Francesca Iorio, Angela Maddaloni and Pierpaolo D’Urso
Trimmed fuzzy clustering of financial time series based on dynamic time warping pp. 1379-1395 Downloads
Pierpaolo D’Urso, Livia Giovanni and Riccardo Massari
Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach pp. 1397-1410 Downloads
Gurjeet Dhesi, Bilal Shakeel and Marcel Ausloos
The multivariate mixture dynamics model: shifted dynamics and correlation skew pp. 1411-1435 Downloads
Damiano Brigo, Camilla Pisani and Francesco Rapisarda
Page updated 2021-05-10