Annals of Operations Research

1997 - 2025

Current editor(s): Endre Boros

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Volume 266, month 7, 2018

Preface: analytical models for financial modeling and risk management pp. 1-4

Constantin Zopounidis, Michalis Doumpos and Kyriaki Kosmidou

Portfolio diversification in the sovereign credit swap markets pp. 5-33

Andrea Consiglio, Somayyeh Lotfi and Stavros Zenios

Corporate hedging: an answer to the “how” question pp. 35-69

Jörgen Blomvall and Jonas Ekblom

Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk pp. 71-100

Mariya Gubareva and Maria Borges

Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal’s simplex pp. 101-127

Dirk Sierag and Bernard Hanzon

An analytical approximation for single barrier options under stochastic volatility models pp. 129-157

Hideharu Funahashi and Tomohide Higuchi

Convexity adjustment for constant maturity swaps in a multi-curve framework pp. 159-181

Nikolaos Karouzakis, John Hatgioannides and Kostas Andriosopoulos

Recent advancements in robust optimization for investment management pp. 183-198

Jang Ho Kim, Woo Chang Kim and Frank Fabozzi

Robust risk budgeting pp. 199-221

Michalis Kapsos, Nicos Christofides and Berc Rustem

On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets pp. 223-253

A. Burak Paç and Mustafa Ç. Pınar

Risk minimization in multi-factor portfolios: What is the best strategy? pp. 255-291

Philipp J. Kremer, Andreea Talmaciu and Sandra Paterlini

Robust equity portfolio performance pp. 293-312

Jang Ho Kim, Woo Chang Kim, Do-Gyun Kwon and Frank Fabozzi

Optimal decision for the market graph identification problem in a sign similarity network pp. 313-327

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

Busra Zeynep Temocin, Ralf Korn and A. Sevtap Selcuk-Kestel

Tracking hedge funds returns using sparse clones pp. 349-371

Margherita Giuzio, Kay Eichhorn-Schott, Sandra Paterlini and Vincent Weber

Portfolio management with benchmark related incentives under mean reverting processes pp. 373-394

Marco Nicolosi, Flavio Angelini and Stefano Herzel

Are financial ratios relevant for trading credit risk? Evidence from the CDS market pp. 395-440

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

Dimitrios Koutmos

On Chinese stock markets: How have they evolved over time? pp. 499-510

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

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

Panagiotis Tziogkidis, Kent Matthews and Dionisis Philippas

Assessing efficiency profiles of UK commercial banks: a DEA analysis with regression-based feedback pp. 551-587

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

Emilios Galariotis, Christophe Germain and Constantin Zopounidis

Volume 265, month 6, 2018

Paths, pivots, and practice: the power of optimization pp. 1-4

Miguel F. Anjos and Antoine Deza

Computational study of valid inequalities for the maximum k-cut problem pp. 5-27

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

Antoine Deza, Kai Huang, Hongfeng Liang and Xiao Jiao Wang

Combinatorial redundancy detection pp. 47-65

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

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

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

János D. Pintér

Graph bisection revisited pp. 143-154

Renata Sotirov

LP-based tractable subcones of the semidefinite plus nonnegative cone pp. 155-182

Akihiro Tanaka and Akiko Yoshise

Cognitive systems and operations research in big data and cloud computing pp. 183-186

Marek R. Ogiela and Hoon Ko

Indoor localization and navigation using smartphone sensory data pp. 187-204

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

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

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

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

Saraswathi Sivamani, Jongsun Choi and Yongyun Cho

Including cognitive aspects in multiple criteria decision analysis pp. 269-291

João Carneiro, Luís Conceição, Diogo Martinho, Goreti Marreiros and Paulo Novais

New paradigms of cognitive management extending computational intelligence approaches pp. 293-304

Lidia Ogiela and Urszula Ogiela

Improved performance optimization for massive small files in cloud computing environment pp. 305-317

Chang Choi, Chulwoong Choi, Junho Choi and Pankoo Kim

Volume 264, month 5, 2018

Modelling and analysis of hub-and-spoke networks under stochastic demand and congestion pp. 1-40

Nader Azizi, Navneet Vidyarthi and Satyaveer S. Chauhan

Efficient extensions of communication values pp. 41-56

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

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

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

Céline Gicquel and Jianqiang Cheng

Functional law of the iterated logarithm for multi-server queues with batch arrivals and customer feedback pp. 157-191

Yongjiang Guo, Yunan Liu and Renhu Pei

A column generation approach and new bounds for the car sequencing problem pp. 193-211

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

Sepideh Kaffash, Reza Kazemi Matin and Mohammad Tajik

Representation-compatible power indices pp. 235-265

Serguei Kaniovski and Sascha Kurz

And/or-convexity: a graph convexity based on processes and deadlock models pp. 267-286

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

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

Sebastian Lozano and Belarmino Adenso-Diaz

Assignment of swimmers to events in a multi-team meeting for team global performance optimization pp. 325-337

Simona Mancini

Using forward Monte-Carlo simulation for the valuation of American barrier options pp. 339-366

Daniel Wei-Chung Miao, Yung-Hsin Lee and Jr-Yan Wang

A novel DEA model based on uncertainty theory pp. 367-389

Zahra Mohmmad Nejad and Alireza Ghaffari-Hadigheh

Financial hedging and competitive strategy for value-maximizing firms under quantity competition pp. 391-407

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

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

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

Jiang Wu, Jinn-Tsair Teng and Konstantina Skouri

Daily aircraft routing for amphibious ready groups pp. 477-498

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

Daozhi Zhao and Zhibao Li

Correction to: Fair ticket pricing in public transport as a constrained cost allocation game pp. 541-541

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

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

Zdeněk Hanzálek and Přemysl Šůcha