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Annals of Operations Research

1997 - 2018

Current editor(s): Endre Boros

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Volume 262, issue 3, 2018

Preface pp. 1-2 Downloads
Stan Uryasev and Jun-ya Gotoh
Superquantile/CVaR risk measures: second-order theory pp. 3-28 Downloads
R. Tyrrell Rockafellar and Johannes O. Royset
On the dual representation of coherent risk measures pp. 29-46 Downloads
Marcus Ang, Jie Sun and Qiang Yao
When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management pp. 47-65 Downloads
Roger W. Barnard, Kent Pearce and A. Alexandre Trindade
CVaR distance between univariate probability distributions and approximation problems pp. 67-88 Downloads
Konstantin Pavlikov and Stan Uryasev
Identifying risk-averse low-diameter clusters in graphs with stochastic vertex weights pp. 89-108 Downloads
Maciej Rysz, Foad Mahdavi Pajouh, Pavlo Krokhmal and Eduardo L. Pasiliao
Detecting robust cliques in graphs subject to uncertain edge failures pp. 109-132 Downloads
Oleksandra Yezerska, Sergiy Butenko and Vladimir L. Boginski
A fair division approach to humanitarian logistics inspired by conditional value-at-risk pp. 133-151 Downloads
Amy Givler Chapman and John E. Mitchell
Photovoltaic power plant design considering multiple uncertainties and risk pp. 153-184 Downloads
Yasemin Merzifonluoglu and Eray Uzgoren
Risk-based models for emergency shelter and exit design in buildings pp. 185-212 Downloads
Reza Faturechi, Shabtai Isaac, Elise Miller-Hooks and Lei Feng
Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps pp. 213-238 Downloads
Sandun Perera, Winston Buckley and Hongwei Long
Preface: Risk management decisions and wealth management in Financial Economics pp. 239-240 Downloads
Hatem Ben Ameur, Ephraim Clark, André Palma and Jean-Luc Prigent
Dynamic analysis of the forecasting bankruptcy under presence of unobserved heterogeneity pp. 241-256 Downloads
Ilyes Abid, Farid Mkaouar and Olfa Kaabia
Ex-ante real estate Value at Risk calculation method pp. 257-285 Downloads
Charles-Olivier Amédée-Manesme and Fabrice Barthélémy
Measurement errors in stock markets pp. 287-306 Downloads
Hachmi Ben Ameur, Fredj Jawadi, Abdoulkarim Idi Cheffou and Wael Louhichi
Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets pp. 307-333 Downloads
Christos Avdoulas, Stelios Bekiros and Sabri Boubaker
Are employee stock option exercise decisions better explained through the prospect theory? pp. 335-359 Downloads
Hamza Bahaji
On information costs, short sales and the pricing of extendible options, steps and Parisian options pp. 361-387 Downloads
Mondher Bellalah
Pricing derivatives in the presence of shadow costs of incomplete information and short sales pp. 389-411 Downloads
Mondher Bellalah
Risk-based strategies: the social responsibility of investment universes does matter pp. 413-429 Downloads
Philippe Bertrand and Vincent Lapointe
Modelling credit spreads with time volatility, skewness, and kurtosis pp. 431-461 Downloads
Ephraim Clark and Selima Baccar
Option implied ambiguity and its information content: Evidence from the subprime crisis pp. 463-491 Downloads
Tarik Driouchi, Lenos Trigeorgis and Raymond H. Y. So
Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) pp. 493-518 Downloads
David Feldman and Xin Xu
How do capital structure and economic regime affect fair prices of bank’s equity and liabilities? pp. 519-545 Downloads
Donatien Hainaut, Yang Shen and Yan Zeng
Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints pp. 547-578 Downloads
Ran Ji and Miguel A. Lejeune
Systemic risk, financial markets, and performance of financial institutions pp. 579-603 Downloads
Edward M. H. Lin, Edward Sun and Min-Teh Yu
Dynamic portfolio insurance strategies: risk management under Johnson distributions pp. 605-629 Downloads
Naceur Naguez
On the robustness of portfolio allocation under copula misspecification pp. 631-652 Downloads
Abdallah Ben Saida and Jean-Luc Prigent
Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier pp. 653-681 Downloads
Hanene Ben Salah, Mohamed Chaouch, Ali Gannoun, Christian Peretti and Abdelwahed Trabelsi

Volume 261, issue 2, 2018

Evaluating the effects of environmental regulations on a closed-loop supply chain network: a variational inequality approach pp. 1-43 Downloads
E. Allevi, A. Gnudi, I. V. Konnov and G. Oggioni
Decomposing risk in an exploitation–exploration problem with endogenous termination time pp. 45-77 Downloads
Francisco Alvarez
Group maintenance policies for an R-out-of-N system with phase-type distribution pp. 79-105 Downloads
Yonit Barron
Rearrangement algorithm and maximum entropy pp. 107-134 Downloads
Carole Bernard, Oleg Bondarenko and Steven Vanduffel
Predispatch of hydroelectric power systems with modifications in network topologies pp. 135-153 Downloads
S. M. S. Carvalho, A. R. L. Oliveira and C. Lyra
Characterization of an inconsistency ranking for pairwise comparison matrices pp. 155-165 Downloads
László Csató
Waiting time distribution for an exchangeable item repair system with up to two failed components pp. 167-184 Downloads
Michael Dreyfuss and Alan Stulman
Computing conditional sojourn time of a randomly chosen tagged customer in a $$\textit{BMAP/MSP/}1$$ BMAP / MSP / 1 queue under random order service discipline pp. 185-206 Downloads
Souvik Ghosh and A. D. Banik
A DEA ranking method based on cross-efficiency intervals and signal-to-noise ratio pp. 207-232 Downloads
Shiang-Tai Liu
A polyhedral study of the static probabilistic lot-sizing problem pp. 233-254 Downloads
Xiao Liu and Simge Küçükyavuz
On coalition formation in a non-convex multi-agent inventory problem pp. 255-273 Downloads
A. Saavedra-Nieves, I. García-Jurado and M. G. Fiestras-Janeiro
Selecting cash management models from a multiobjective perspective pp. 275-288 Downloads
Francisco Salas-Molina, Juan A. Rodriguez-Aguilar and Pablo Díaz-García
Tax compliance with uncertain income: a stochastic control model pp. 289-301 Downloads
Gaetano T. Spartà and Gabriele Stabile
A constrained integrated imperfect manufacturing-inventory system with preventive maintenance and partial backordering pp. 303-337 Downloads
Ata Allah Taleizadeh
Flow shop scheduling problem with conflict graphs pp. 339-363 Downloads
Nour El Houda Tellache and Mourad Boudhar
Integrating quality into the nonparametric analysis of efficiency: a simulation comparison of popular methods pp. 365-392 Downloads
Yauheniya Varabyova and Jonas Schreyögg
A note on using the resistance-distance matrix to solve Hamiltonian cycle problem pp. 393-399 Downloads
V. Ejov, J. A. Filar, M. Haythorpe, J. F. Roddick and S. Rossomakhine
Bounds for parallel machine scheduling with predefined parts of jobs and setup time pp. 401-412 Downloads
Hyun-Jung Kim

Volume 260, issue 1, 2018

Preface: Advances of OR in commodities and financial modelling pp. 1-2 Downloads
A. Sevtap Selçuk-Kestel, Yeliz Yolcu-Okur and Gerhard-Wilhelm Weber
Object selection in credit scoring using covariance matrix of parameters estimations pp. 3-21 Downloads
Alexander A. Aduenko, Anastasia P. Motrenko and Vadim V. Strijov
Robust term structure estimation in developed and emerging markets pp. 23-49 Downloads
Emrah Ahi, Vedat Akgiray and Emrah Sener
Temporal clustering of time series via threshold autoregressive models: application to commodity prices pp. 51-77 Downloads
Sipan Aslan, Ceylan Yozgatligil and Cem Iyigun
On the methods of pricing American options: case study pp. 79-94 Downloads
Burcu Aydoğan, Ümit Aksoy and Ömür Uğur
Contingent claim pricing through a continuous time variational bargaining scheme pp. 95-112 Downloads
N. Azevedo, D. Pinheiro, S. Z. Xanthopoulos and A. N. Yannacopoulos
Efficient simulations for a Bernoulli mixture model of portfolio credit risk pp. 113-128 Downloads
İsmail Başoğlu, Wolfgang Hörmann and Halis Sak
Do price limits help control stock price volatility? pp. 129-157 Downloads
Seza Danışoğlu and Z. Nuray Güner
Interaction of fiscal and monetary policy in a monetary union under the zero lower bound constraint pp. 159-196 Downloads
Stefanie Flotho
Multiresolution analysis of S&P500 time series pp. 197-216 Downloads
Deniz Kenan Kılıç and Ömür Uğur
A game-theoretical and cryptographical approach to crypto-cloud computing and its economical and financial aspects pp. 217-231 Downloads
Barış Bülent Kırlar, Serap Ergün, Sırma Zeynep Alparslan Gök and Gerhard-Wilhelm Weber
Robust auction design under multiple priors by linear and integer programming pp. 233-253 Downloads
Çağıl Koçyiğit, Halil I. Bayrak and Mustafa Ç. Pınar
Individual optimal pension allocation under stochastic dominance constraints pp. 255-291 Downloads
Miloš Kopa, Vittorio Moriggia and Sebastiano Vitali
Early warning on stock market bubbles via methods of optimization, clustering and inverse problems pp. 293-320 Downloads
Efsun Kürüm, Gerhard-Wilhelm Weber and Cem Iyigun
The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming pp. 321-352 Downloads
Viktor Manahov
Option pricing in an exponential MixedTS Lévy process pp. 353-374 Downloads
Lorenzo Mercuri and Edit Rroji
Risk parity for Mixed Tempered Stable distributed sources of risk pp. 375-393 Downloads
Lorenzo Mercuri and Edit Rroji
Portfolio selection strategy for fixed income markets with immunization on average pp. 395-415 Downloads
Sergio Ortobelli, Sebastiano Vitali, Marco Cassader and Tomáš Tichý
Numerical computation of convex risk measures pp. 417-435 Downloads
G. I. Papayiannis and A. N. Yannacopoulos
Analysis of inventory control model with shortage under time-dependent demand and time-varying holding cost including stochastic deterioration pp. 437-460 Downloads
Magfura Pervin, Sankar Kumar Roy and Gerhard-Wilhelm Weber
Optimal harvesting for a logistic growth model with predation and a constant elasticity of variance pp. 461-480 Downloads
S. Pinheiro
Optimal Pricing of competing retailers under uncertain demand-a two layer supply chain model pp. 481-500 Downloads
Arpita Roy, Shib Sankar Sana and Kripasindhu Chaudhuri
Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk pp. 501-514 Downloads
Danjue Shang, Victor Kuzmenko and Stan Uryasev
Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading pp. 515-544 Downloads
Busra Zeynep Temocin, Ralf Korn and A. Sevtap Selcuk-Kestel
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