Annals of Operations Research

1997 - 2025

Current editor(s): Endre Boros

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Volume 282, month 11, 2019

Preface: application of operations research to financial markets pp. 1-2

Ioannis Kyriakou, Athanasios A. Pantelous, Georgios Sermpinis and Stavros A. Zenios

Understanding time-inconsistent heterogeneous preferences in economics and finance: a practice theory approach pp. 3-26

Panagiotis Andrikopoulos and Nick Webber

Closed-form variance swap prices under general affine GARCH models and their continuous-time limits pp. 27-57

Alexandru Badescu, Zhenyu Cui and Juan-Pablo Ortega

Quantization meets Fourier: a new technology for pricing options pp. 59-86

Giorgia Callegaro, Lucio Fiorin and Martino Grasselli

Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery pp. 87-118

Filipa Fernandes, Charalampos Stasinakis and Zivile Zekaite

On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter pp. 119-130

Christian-Oliver Ewald, Aihua Zhang and Zhe Zong

The financial crisis and the shadow price of bank capital pp. 131-154

Maryam Hasannasab, Dimitris Margaritis and Christos Staikouras

Can commodities dominate stock and bond portfolios? pp. 155-177

Tom Erik Sønsteng Henriksen, Alois Pichler, Sjur Westgaard and Stein Frydenberg

Is stock liquidity transferred and upgraded in acquisitions? Evidence from liquidity synergies in US freeze-outs pp. 179-216

Konstantinos Konstantaras and Vasilios Sogiakas

High frequency trading strategies, market fragility and price spikes: an agent based model perspective pp. 217-244

Frank McGroarty, Ash Booth, Enrico Gerding and V. L. Raju Chinthalapati

Multi-period portfolio selection with drawdown control pp. 245-271

Peter Nystrup, Stephen Boyd, Erik Lindström and Henrik Madsen

Hilbert transform, spectral filters and option pricing pp. 273-298

Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai and Guido Germano

A composition between risk and deviation measures pp. 299-313

Marcelo Righi

Managing portfolio diversity within the mean variance theory pp. 315-329

Anatoly B. Schmidt

Intraday forecasts of a volatility index: functional time series methods with dynamic updating pp. 331-354

Han Lin Shang, Yang Yang and Fearghal Kearney

Did long-memory of liquidity signal the European sovereign debt crisis? pp. 355-377

Z. Sun, P. A. Hamill, Youwei Li, Y. C. Yang and S. A. Vigne

Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns pp. 379-405

Davi Valladão, Thuener Silva and Marcus Poggi

Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany pp. 407-426

Christoph Wegener, Tobias Basse, Philipp Sibbertsen and Duc Khuong Nguyen

Volume 281, month 10, 2019

Preface: decision making and risk/return optimization in financial economics pp. 1-2

Farid AitSahlia, Giovanni Barone-Adesi, Ephraim Clark and Jean-Luc Prigent

Optimal strategy between extraction and storage of crude oil pp. 3-26

Ilyes Abid, Stéphane Goutte, Farid Mkaouar and Khaled Guesmi

Forecast bankruptcy using a blend of clustering and MARS model: case of US banks pp. 27-64

Zeineb Affes and Rania Hentati-Kaffel

Mixed-asset portfolio allocation under mean-reverting asset returns pp. 65-98

Charles-Olivier Amédée-Manesme, Fabrice Barthélémy, Philippe Bertrand and Jean-Luc Prigent

NORTA for portfolio credit risk pp. 99-119

Mohamed A. Ayadi, Hatem Ben-Ameur, Nabil Channouf and Quang Khoi Tran

A measure of total firm performance: new insights for the corporate objective pp. 121-141

Yacine Belghitar, Ephraim Clark and Konstantino Kassimatis

An intertemporal capital asset pricing model under incomplete information and short sales pp. 143-159

Mondher Bellalah and Detao Zhang

International capital asset pricing model: the case of asymmetric information and short-sale pp. 161-173

Makram Bellalah and Fredj Amine Dammak

Revisiting generalized almost stochastic dominance pp. 175-192

Jow-Ran Chang, Wei-Han Liu and Mao-Wei Hung

Portfolio optimization under Solvency II pp. 193-227

Marcos Escobar Anel, Paul Kriebel, Markus Wahl and Rudi Zagst

On the multidimensional Black–Scholes partial differential equation pp. 229-251

Tristan Guillaume

Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market pp. 253-274

Yingyi Hu

Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model pp. 275-295

Fredj Jawadi, Wael Louhichi, Abdoulkarim Idi Cheffou and Hachmi Ben Ameur

Dynamic integration and network structure of the EMU sovereign bond markets pp. 297-314

Ahmet Sensoy, Duc Khuong Nguyen, Ahmed Rostom and Erk Hacihasanoglu

Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity pp. 315-347

Edward Sun, Timm Kruse and Yi-Ting Chen

Idiosyncratic risk and mutual fund performance pp. 349-372

Javier Vidal-García, Marta Vidal, Sabri Boubaker and Riadh Manita

Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach pp. 373-395

Bangzhu Zhu, Shunxin Ye, Kaijian He, Julien Chevallier and Rui Xie

Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales pp. 397-422

Mondher Bellalah, Yaosheng Xu and Detao Zhang

Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR pp. 423-453

Charles-Olivier Amédée-Manesme, Fabrice Barthélémy and Didier Maillard

Volume 280, month 9, 2019

Predictive models for bariatric surgery risks with imbalanced medical datasets pp. 1-18

Talayeh Razzaghi, Ilya Safro, Joseph Ewing, Ehsan Sadrfaridpour and John D. Scott

Fast and accurate computation of the distribution of sums of dependent log-normals pp. 19-46

Zdravko I. Botev, Robert Salomone and Daniel Mackinlay

Sandwiches missing two ingredients of order four pp. 47-63

José D. Alvarado, Simone Dantas and Dieter Rautenbach

A state-dependent perishability (s, S) inventory model with random batch demands pp. 65-98

Y. Barron

Axiomatizations of inconsistency indices for triads pp. 99-110

László Csató

Necessary players, Myerson fairness and the equal treatment of equals pp. 111-119

Florian Navarro

Flow formulations for curriculum-based course timetabling pp. 121-150

Niels-Christian F. Bagger, Simon Kristiansen, Matias Sørensen and Thomas R. Stidsen

Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic pp. 151-187

Unai Aldasoro, María Merino and Gloria Pérez

Modeling uncertainty of expert elicitation for use in risk-based optimization pp. 189-210

Michael D. Teter, Johannes O. Royset and Alexandra M. Newman

Enhanced indexing using weighted conditional value at risk pp. 211-240

Ruchika Sehgal and Aparna Mehra

Computations of volumes and Ehrhart series in four candidates elections pp. 241-265

Winfried Bruns, Bogdan Ichim and Christof Söger

Designing competitive loyalty programs: a stochastic game-theoretic model to guide the choice of reward structure pp. 267-298

Amir Gandomi, Amirhossein Bazargan and Saeed Zolfaghari

A mathematical modelling approach for managing sudden disturbances in a three-tier manufacturing supply chain pp. 299-335

Sanjoy Kumar Paul, Ruhul Sarker, Daryl Essam and Paul Tae-Woo Lee

Formulation and solution of an optimal control problem for industrial project control pp. 337-350

Klaus Werner Schmidt and Öncü Hazır

Managing premium wines using an $$(s - 1,s)$$ ( s - 1, s ) inventory policy: a heuristic solution approach pp. 351-376

Mauricio Varas, Franco Basso, Armin Lüer-Villagra, Alejandro Mac Cawley and Sergio Maturana

Optimal credit term, order quantity and selling price for perishable products when demand depends on selling price, expiration date, and credit period pp. 377-405

Ruihai Li, Jinn-Tsair Teng and Yingfei Zheng