Annals of Operations Research

1997 - 2025

Current editor(s): Endre Boros

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Volume 300, month 5, 2021

E-differentiable minimax programming under E-convexity pp. 1-22

Tadeusz Antczak and Najeeb Abdulaleem

Combinatorial two-stage minmax regret problems under interval uncertainty pp. 23-50

Marc Goerigk, Adam Kasperski and Paweł Zieliński

A functional law of the iterated logarithm for multi-class queues with batch arrivals pp. 51-77

Yongjiang Guo, Xiyang Hou and Yunan Liu

Herding and feedback trading in cryptocurrency markets pp. 79-96

Timothy King and Dimitrios Koutmos

Capacity reallocation via sinking high-quality resource in a hierarchical healthcare system pp. 97-135

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

Volkan Soner Özsoy, Mediha Örkcü and H. Hasan Örkcü

Variance reduction for sequential sampling in stochastic programming pp. 171-204

Jangho Park, Rebecca Stockbridge and Güzin Bayraksan

The worst-case payoff in games with stochastic revision opportunities pp. 205-224

Yevgeny Tsodikovich

Joint inspection and inventory control for deteriorating items with time-dependent demand and deteriorating rate pp. 225-265

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

Wei Yu, Zhaohui Liu and Xiaoguang Bao

Determination of early warning time window for bottleneck resource buffer pp. 289-305

Junguang Zhang and Dan Wan

Sequential data envelopment analysis pp. 307-312

Rolf Färe and Valentin Zelenyuk

Preface: recent advances in knowledge modelling and decision making with uncertainties pp. 313-317

Huynh Van-Nam and Hong-Bin Yan

A survey of decision making and optimization under uncertainty pp. 319-353

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

Justin Dzuche, Christian Deffo Tassak, Jules Sadefo Kamdem and Louis Aimé Fono

Fuzzy measures for fuzzy cross efficiency in data envelopment analysis pp. 369-398

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

Suradej Duangpummet, Jessada Karnjana and Waree Kongprawechnon

An interval type-2 fuzzy model of compliance monitoring for quality of web service pp. 415-441

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

Wenyu Yu, Zhen Zhang and Qiuyan Zhong

Forecasting tourism demand using fractional grey prediction models with Fourier series pp. 467-491

Yi-Chung Hu

Joint sentence and aspect-level sentiment analysis of product comments pp. 493-513

Long Mai and Bac Le

Identifying lead users in online user innovation communities based on supernetwork pp. 515-543

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

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

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

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

Tatyana Chernonog

Volume 299, month 4, 2021

Preface: recent developments in financial modelling and risk management pp. 1-5

Roy Cerqueti, Rita Laura D’Ecclesia and Susanna Levantesi

Dealing with complex transaction costs in portfolio management pp. 7-22

Patrizia Beraldi, Antonio Violi, Massimiliano Ferrara, Claudio Ciancio and Bruno Antonio Pansera

Minimum Rényi entropy portfolios pp. 23-46

Nathan Lassance and Frédéric Vrins

Fused Lasso approach in portfolio selection pp. 47-59

Stefania Corsaro, Valentina De Simone and Zelda Marino

Asset allocation: new evidence through network approaches pp. 61-80

Gian Paolo Clemente, Rosanna Grassi and Asmerilda Hitaj

Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment pp. 81-99

Alessia Naccarato, Andrea Pierini and Giovanna Ferraro

The value of knowing the market price of risk pp. 101-131

Katia Colaneri, Stefano Herzel and Marco Nicolosi

Optimal convergence trading with unobservable pricing errors pp. 133-161

Sühan Altay, Katia Colaneri and Zehra Eksi

Google search volumes for portfolio management: performances and asset concentration pp. 163-175

Mario Maggi and Pierpaolo Uberti

Better to stay apart: asset commonality, bipartite network centrality, and investment strategies pp. 177-213

Andrea Flori, Fabrizio Lillo, Fabio Pammolli and Alessandro Spelta

Optimal investment strategies with a minimum performance constraint pp. 215-239

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

Miloš Kopa and Tomáš Rusý

Pension fund management with investment certificates and stochastic dominance pp. 273-292

Sebastiano Vitali and Vittorio Moriggia

Multi-asset scenario building for trend-following trading strategies pp. 293-315

Andreas Thomann

Investment and operational decisions for start-up companies: a game theory and Markov decision process approach pp. 317-330

Thomas W. Archibald and Edgar Possani

What if versus probabilistic scenarios: a neuroscientific analysis pp. 331-347

Rosella Castellano, Marco Mancinelli, Giorgia Ponsi and Gaetano Tieri

Investor behavior and weather factors: evidences from Asian region pp. 349-373

Chinnadurai Kathiravan, Murugesan Selvam, Sankaran Venkateswar and S. Balakrishnan

Money’s importance from the religious perspective pp. 375-399

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

F. Antonelli, Alessandro Ramponi and S. Scarlatti

Fair prices under a unified lattice approach for interest rate derivatives pp. 429-441

Giacomo Morelli

Crypto price discovery through correlation networks pp. 443-457

Paolo Giudici and Gloria Polinesi

Detecting bubbles in Bitcoin price dynamics via market exuberance pp. 459-479

Alessandra Cretarola and Gianna Figà-Talamanca

Banks’ business strategies on the edge of distress pp. 481-530

Andrea Flori, Simone Giansante, Claudia Girardone and Fabio Pammolli

Forecasting bankruptcy using biclustering and neural network-based ensembles pp. 531-566

Philippe du Jardin

Measuring credit crunch in Italy: evidence from a survey-based indicator pp. 567-592

Alessandro Girardi and Marco Ventura

The interconnectedness of the economic content in the speeches of the US Presidents pp. 593-615

Matteo Cinelli, Valerio Ficcadenti and Jessica Riccioni

Making the Eurozone work: a risk-sharing reform of the European Stability Mechanism pp. 617-657

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

Dawen Yan, Xiaohui Zhang and Mingzheng Wang

Liquidity drops pp. 711-719

Giacomo Morelli

Assessing the impact of incomplete information on the resilience of financial networks pp. 721-745

Matteo Cinelli, Giovanna Ferraro, Antonio Iovanella and Giulia Rotundo

Capital allocation and RORAC optimization under solvency 2 standard formula pp. 747-763

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

Pierre Devolder, Susanna Levantesi and Massimiliano Menzietti

Pension schemes versus real estate pp. 797-809

V. D’Amato, Emilia Di Lorenzo, S. Haberman, Marilena Sibillo and R. Tizzano

Enterprise risk management and economies of scale and scope: evidence from the German insurance industry pp. 811-845

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

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

Carlo Lucheroni and Carlo Mari

Long memory and crude oil’s price predictability pp. 895-906

Roy Cerqueti and Viviana Fanelli

Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches pp. 907-937

Sebastian Maier

Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas pp. 939-962

Simona Franzoni and Cristian Pelizzari

The European gas market: new evidences pp. 963-999

Vera Jotanovic and Rita Laura D’Ecclesia

Managing foreign exchange risk with buyer–supplier contracts pp. 1001-1024

Latha Shanker and Ahmet Satir

Model risk in real option valuation pp. 1025-1056

Carol Alexander and Xi Chen

Comonotonicity and low volatility effect pp. 1057-1099

Wan-Ni Lai, Yi-Ting Chen and Edward Sun

Volatility in the stock market: ANN versus parametric models pp. 1101-1127

Rita Laura D’Ecclesia and Daniele Clementi

Peer effects in risk preferences: Evidence from Germany pp. 1129-1163

Mark J. Browne, Annette Hofmann, Andreas Richter, Sophie-Madeleine Roth and Petra Steinorth

Systemic risk assessment through high order clustering coefficient pp. 1165-1187

Roy Cerqueti, Gian Paolo Clemente and Rosanna Grassi

Evidence regarding external financing in manufacturing MSEs using partial least squares regression pp. 1189-1202

Eduard Gabriel Ceptureanu, Sebastian Ceptureanu and Claudiu Herteliu

Testing for persistence in US mutual funds’ performance: a Bayesian dynamic panel model pp. 1203-1233

Emmanuel Mamatzakis and Mike Tsionas

Modeling the flow of information between financial time-series by an entropy-based approach pp. 1235-1252

F. Benedetto, L. Mastroeni and P. Vellucci

Modelling tail risk with tempered stable distributions: an overview pp. 1253-1280

Hasan Fallahgoul and Gregoire Loeper

Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation pp. 1281-1315

Matthew Norton, Valentyn Khokhlov and Stan Uryasev

Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? pp. 1317-1356

Massimo Guidolin and Manuela Pedio

Atheoretical Regression Trees for classifying risky financial institutions pp. 1357-1377

Carmela Cappelli, Francesca Di Iorio, Angela Maddaloni and Pierpaolo D’Urso

Trimmed fuzzy clustering of financial time series based on dynamic time warping pp. 1379-1395

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

Gurjeet Dhesi, Bilal Shakeel and Marcel Ausloos

The multivariate mixture dynamics model: shifted dynamics and correlation skew pp. 1411-1435

Damiano Brigo, Camilla Pisani and Francesco Rapisarda