Annals of Operations Research

1997 - 2025

Current editor(s): Endre Boros

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Volume 154, month 10, 2007

Preface pp. 1-2

Constantin Zopounidis and Michael Doumpos

On the concept of decision aiding process: an operational perspective pp. 3-27

Alexis Tsoukiàs

A survey of recent developments in multiobjective optimization pp. 29-50

Altannar Chinchuluun and Panos Pardalos

Transparent prioritisation, budgeting and resource allocation with multi-criteria decision analysis and decision conferencing pp. 51-68

Lawrence Phillips and Carlos Bana e Costa

Multiple criteria districting problems pp. 69-92

Fernando Tavares-Pereira, José Figueira, Vincent Mousseau and Bernard Roy

The representation of conditional relative importance between criteria pp. 93-122

Christophe Labreuche and Michel Grabisch

Inferring consensus weights from pairwise comparison matrices without suitable properties pp. 123-132

Jacinto González-Pachón and Carlos Romero

Optimality conditions and duality for nondifferentiable multiobjective fractional programming with generalized convexity pp. 133-147

Altannar Chinchuluun, Dehui Yuan and Panos Pardalos

Volume 153, month 9, 2007

Preface pp. 1-1

Denis Bouyssou, Silvano Martello and Frank Plastria

Eleven surveys in Operations Research pp. 3-7

Denis Bouyssou, Silvano Martello and Frank Plastria

The omnipresence of Lagrange pp. 9-27

Claude Lemaréchal

The dial-a-ride problem: models and algorithms pp. 29-46

Jean-François Cordeau and Gilbert Laporte

Lifting, superadditivity, mixed integer rounding and single node flow sets revisited pp. 47-77

Quentin Louveaux and Laurence Wolsey

Models and solution techniques for frequency assignment problems pp. 79-129

Karen Aardal, Stan Hoesel, Arie Koster, Carlo Mannino and Antonio Sassano

Combinatorial auctions pp. 131-164

Jawad Abrache, Teodor Crainic, Michel Gendreau and Monia Rekik

Ethics in OR/MS: past, present and future pp. 165-178

Jean-Pierre Brans and Giorgio Gallo

Combinatorial optimisation and hierarchical classifications pp. 179-214

J.-P. Barthélemy, F. Brucker and C. Osswald

Counting and enumeration complexity with application to multicriteria scheduling pp. 215-234

Vincent T’kindt, Karima Bouibede-Hocine and Carl Esswein

An overview of bilevel optimization pp. 235-256

Benoît Colson, Patrice Marcotte and Gilles Savard

Complexity and algorithms for nonlinear optimization problems pp. 257-296

Dorit Hochbaum

Production planning with load dependent lead times: an update of research pp. 297-345

Julia Pahl, Stefan Voß and David Woodruff

Volume 152, month 7, 2007

Preface pp. 1-4

Hercules Vladimirou

Coherent multiperiod risk adjusted values and Bellman’s principle pp. 5-22

Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath and Hyejin Ku

A semi-analytical method for VaR and credit exposure analysis pp. 23-47

Ben De Prisco, Ian Iscoe, Alexander Kreinin and Ahmed Nagi

Credit risk optimization using factor models pp. 49-77

David Saunders, Costas Xiouros and Stavros Zenios

Strategic foreign reserves risk management: Analytical framework pp. 79-113

Stijn Claessens and Jerome Kreuser

A stochastic programming model for asset liability management of a Finnish pension company pp. 115-139

Petri Hilli, Matti Koivu, Teemu Pennanen and Antero Ranne

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases pp. 141-165

Paolo Battocchio, Francesco Menoncin and Olivier Scaillet

Scenario optimization asset and liability modelling for individual investors pp. 167-191

Andrea Consiglio, Flavio Cocco and Stavros Zenios

A sample-path approach to optimal position liquidation pp. 193-225

Pavlo Krokhmal and Stanislav Uryasev

Conditional value at risk and related linear programming models for portfolio optimization pp. 227-256

Renata Mansini, Wlodzimierz Ogryczak and M. Speranza

Financial scenario generation for stochastic multi-stage decision processes as facility location problems pp. 257-272

Ronald Hochreiter and Georg Pflug

Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis pp. 273-295

Rafael Lazimy

Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection pp. 297-317

Ralph Steuer, Yue Qi and Markus Hirschberger

Parallel interior-point solver for structured quadratic programs: Application to financial planning problems pp. 319-339

Jacek Gondzio and Andreas Grothey

Portfolio optimization with linear and fixed transaction costs pp. 341-365

Miguel Lobo, Maryam Fazel and Stephen Boyd

Multi-period stochastic portfolio optimization: Block-separable decomposition pp. 367-394

N. Edirisinghe and E. Patterson

A two-stage stochastic integer programming approach as a mixture of Branch-and-Fix Coordination and Benders Decomposition schemes pp. 395-420

L. Escudero, A. Garín, M. Merino and G. Pérez

Volume 151, month 4, 2007

Preface pp. 1-4

Hercules Vladimirou

Preemptive patenting under uncertainty and asymmetric information pp. 5-28

Yao-Wen Hsu and Bart Lambrecht

Real R&D options with time-to-learn and learning-by-doing pp. 29-55

Nicos Koussis, Spiros Martzoukos and Lenos Trigeorgis

Return distributions of strategic growth options pp. 57-80

Hans Haanappel and Han Smit

Bounds for in-progress floating-strike Asian options using symmetry pp. 81-98

Vicky Henderson, David Hobson, William Shaw and Rafal Wojakowski

Interest rate options valuation under incomplete information pp. 99-117

Constantin Mellios

Incomplete information equilibria: Separation theorems and other myths pp. 119-149

David Feldman

Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions pp. 151-178

Turan Bali

Macaulay durations for nonparallel shifts pp. 179-191

Harry Zheng

A portfolio-based evaluation of affine term structure models pp. 193-222

Andrea Beltratti and Paolo Colla

Portfolio selection with probabilistic utility pp. 223-239

Robert Marschinski, Pietro Rossi, Massimo Tavoni and Flavio Cocco

A conditional-SGT-VaR approach with alternative GARCH models pp. 241-267

Turan Bali and Panayiotis Theodossiou

Estimating parameters in diffusion processes using an approximate maximum likelihood approach pp. 269-288

Erik Lindström

Model combination for credit risk assessment: A stacked generalization approach pp. 289-306

Michael Doumpos and Constantin Zopounidis

The effect of depreciation allowances on the timing of investment and government tax revenue pp. 307-323

Vadim Arkin and Alexander Slastnikov

Adapting support vector machine methods for horserace odds prediction pp. 325-336

David Edelman