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Computational Management Science

2003 - 2019

Current editor(s): Ruediger Schultz

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Volume 16, issue 1, 2019

14th International Conference on Computational Management Science pp. 1-2 Downloads
Rosella Giacometti and Berç Rustem
Blocks of coordinates, stochastic programming, and markets pp. 3-16 Downloads
Sjur Didrik Flåm
Multistage portfolio optimization with multivariate dominance constraints pp. 17-46 Downloads
Barbora Petrová
Optimal strategies with option compensation under mean reverting returns or volatilities pp. 47-69 Downloads
Stefano Herzel and Marco Nicolosi
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization pp. 71-95 Downloads
Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Timing portfolio strategies with exponential Lévy processes pp. 97-127 Downloads
Sergio Ortobelli Lozza, Enrico Angelelli and Alda Ndoci
Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study pp. 129-154 Downloads
Giorgio Consigli, Asmerilda Hitaj and Elisa Mastrogiacomo
Identifying systemically important financial institutions: a network approach pp. 155-185 Downloads
Pablo Rovira Kaltwasser and Alessandro Spelta
Tempered stable process, first passage time, and path-dependent option pricing pp. 187-215 Downloads
Young Shin Kim
Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models pp. 217-248 Downloads
Ludovic Goudenege, Andrea Molent and Antonino Zanette
European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions pp. 249-274 Downloads
Martina Nardon and Paolo Pianca
Calibration of one-factor and two-factor Hull–White models using swaptions pp. 275-295 Downloads
Vincenzo Russo and Gabriele Torri
Simulation and evaluation of the distribution of interest rate risk pp. 297-327 Downloads
Johan Hagenbjörk and Jörgen Blomvall
Big data analytics: an aid to detection of non-technical losses in power utilities pp. 329-343 Downloads
Giovanni Micheli, Emiliano Soda, Maria Teresa Vespucci, Marco Gobbi and Alessandro Bertani
On the construction of hourly price forward curves for electricity prices pp. 345-369 Downloads
Rüdiger Kiesel, Florentina Paraschiv and Audun Sætherø

Volume 15, issue 3, 2018

The stochastic programming heritage of Maarten van der Vlerk pp. 319-323 Downloads
David P. Morton, Ward Romeijnders, Rüdiger Schultz and Leen Stougie
Higher-order total variation bounds for expectations of periodic functions and simple integer recourse approximations pp. 325-349 Downloads
Niels Laan, Ward Romeijnders and Maarten H. Vlerk
Distributionally robust simple integer recourse pp. 351-367 Downloads
Weijun Xie and Shabbir Ahmed
Decision-dependent probabilities in stochastic programs with recourse pp. 369-395 Downloads
Lars Hellemo, Paul I. Barton and Asgeir Tomasgard
Stochastic programs with binary distributions: structural properties of scenario trees and algorithms pp. 397-410 Downloads
Vit Prochazka and Stein W. Wallace
Strong convexity in risk-averse stochastic programs with complete recourse pp. 411-429 Downloads
Matthias Claus, Rüdiger Schultz and Kai Spürkel
Distributionally robust SDDP pp. 431-454 Downloads
A. B. Philpott, V. L. Matos and L. Kapelevich
New solution approaches for the maximum-reliability stochastic network interdiction problem pp. 455-477 Downloads
Eli Towle and James Luedtke
On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management pp. 479-500 Downloads
Laureano F. Escudero and Juan F. Monge
A Progressive Hedging based branch-and-bound algorithm for mixed-integer stochastic programs pp. 501-540 Downloads
Semih Atakan and Suvrajeet Sen
A systematic approach for examining the impact of calibration uncertainty in disease modeling pp. 541-561 Downloads
Jing Voon Chen, Julia L. Higle and Michael Hintlian
An adaptive model with joint chance constraints for a hybrid wind-conventional generator system pp. 563-582 Downloads
Bismark Singh, David P. Morton and Surya Santoso
A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting pp. 583-597 Downloads
Miguel Lejeune and Janne Kettunen
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming pp. 599-632 Downloads
Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali and Lorenzo Mercuri

Volume 15, issue 2, 2018

Twenty-five years of applied mathematical programming and modelling pp. 135-137 Downloads
Christina Erlwein-Sayer and Ronald Hochreiter
Portfolio selection under supply chain predictability pp. 139-159 Downloads
Thomas Trier Bjerring, Kourosh Marjani Rasmussen and Alex Weissensteiner
Approximation for portfolio optimization in a financial market with shot-noise jumps pp. 161-186 Downloads
Oleksandra Putyatina and Jörn Sass
ALM models based on second order stochastic dominance pp. 187-211 Downloads
Maram Alwohaibi and Diana Roman
Computation of the Delta of European options under stochastic volatility models pp. 213-237 Downloads
Yeliz Yolcu-Okur, Tilman Sayer, Bilgi Yilmaz and B. Alper Inkaya
Modeling and implementation of local volatility surfaces in Bayesian framework pp. 239-258 Downloads
Abdulwahab Animoku, Ömür Uğur and Yeliz Yolcu-Okur
Putting a price tag on temperature pp. 259-296 Downloads
Heng Xiong and Rogemar Mamon
Determination and estimation of risk aversion coefficients pp. 297-317 Downloads
Taras Bodnar, Yarema Okhrin, Valdemar Vitlinskyy and Taras Zabolotskyy

Volume 15, issue 1, 2018

Asset allocation strategies based on penalized quantile regression pp. 1-32 Downloads
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market pp. 33-53 Downloads
Paolo Barucca and Fabrizio Lillo
A successive linear programming algorithm with non-linear time series for the reservoir management problem pp. 55-86 Downloads
Charles Gauvin, Erick Delage and Michel Gendreau
Stochastic dynamic programming approach to managing power system uncertainty with distributed storage pp. 87-110 Downloads
Luckny Zéphyr and C. Lindsay Anderson
A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming pp. 111-134 Downloads
Guanglin Xu and Samuel Burer

Volume 14, issue 4, 2017

Special issue on the 13th international conference on computational management science pp. 461-463 Downloads
A. Alonso-Ayuso and F. Maggioni
Chebyshev reduced basis function applied to option valuation pp. 465-491 Downloads
Javier Frutos and Víctor Gatón
Using tropical optimization to solve constrained minimax single-facility location problems with rectilinear distance pp. 493-518 Downloads
Nikolai Krivulin
A discrete optimality system for an optimal harvesting problem pp. 519-533 Downloads
Hacer Öz Bakan, Fikriye Yılmaz and Gerhard-Wilhelm Weber
On the impact of conditional expectation estimators in portfolio theory pp. 535-557 Downloads
Sergio Ortobelli, Noureddine Kouaissah and Tomáš Tichý
Implied volatility and state price density estimation: arbitrage analysis pp. 559-583 Downloads
Miloš Kopa, Sebastiano Vitali, Tomáš Tichý and Radek Hendrych
Centered solutions for uncertain linear equations pp. 585-610 Downloads
Jianzhe Zhen and Dick Hertog

Volume 14, issue 3, 2017

Pricing catastrophe bonds with multistage stochastic programming pp. 297-312 Downloads
Nick Georgiopoulos
Fast binomial procedures for pricing Parisian/ParAsian options pp. 313-331 Downloads
Marcellino Gaudenzi and Antonino Zanette
Quality evaluation of scenario-tree generation methods for solving stochastic programming problems pp. 333-365 Downloads
Julien Keutchayan, Michel Gendreau and Antoine Saucier
Regularised gradient boosting for financial time-series modelling pp. 367-391 Downloads
Alexandros Agapitos, Anthony Brabazon and Michael O’Neill
Regularized decomposition of large scale block-structured robust optimization problems pp. 393-421 Downloads
Wim Ackooij, Nicolas Lebbe and Jérôme Malick
Optimal trial duration times for multiple change points products lifetime distributions pp. 423-441 Downloads
Rachele Foschi
A joint model of probabilistic/robust constraints for gas transport management in stationary networks pp. 443-460 Downloads
T. González Grandón, H. Heitsch and R. Henrion

Volume 14, issue 2, 2017

Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels pp. 179-196 Downloads
Pedro Correia S. Bezerra and Pedro Henrique M. Albuquerque
A comparison between the robust risk-aware and risk-seeking managers in R&D portfolio management pp. 197-213 Downloads
Shuyi Wang and Aurélie Thiele
Numerical solutions to dynamic portfolio problems with upper bounds pp. 215-227 Downloads
Mark Broadie and Weiwei Shen
Log-robust portfolio management with parameter ambiguity pp. 229-256 Downloads
Ban Kawas and Aurelie Thiele
Novel approaches for portfolio construction using second order stochastic dominance pp. 257-280 Downloads
Cristiano Arbex Valle, Diana Roman and Gautam Mitra
A developed slope order index (SOI) for bottlenecks in projects and production lines pp. 281-291 Downloads
Mehdi Rajabi Asadabadi
Erratum to: Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study pp. 293-296 Downloads
Andreas Bärmann, Andreas Heidt, Alexander Martin, Sebastian Pokutta and Christoph Thurner

Volume 14, issue 1, 2017

Special issue on the 12th international conference on computational management science pp. 1-4 Downloads
Miloš Kopa and Wolfram Wiesemann
A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches pp. 5-44 Downloads
Francesca Maggioni, Florian A. Potra and Marida Bertocchi
Robust optimization of uncertain multistage inventory systems with inexact data in decision rules pp. 45-66 Downloads
Frans J. C. T. Ruiter, Aharon Ben-Tal, Ruud Brekelmans and Dick Hertog
SDDP for multistage stochastic programs: preprocessing via scenario reduction pp. 67-80 Downloads
Jitka Dupačová and Václav Kozmík
Goldbach’s conjecture in max-algebra pp. 81-89 Downloads
Peter Szabó
Direct solution to constrained tropical optimization problems with application to project scheduling pp. 91-113 Downloads
Nikolai Krivulin
Robust shift generation in workforce planning pp. 115-134 Downloads
Dori Hulst, Dick Hertog and Wim Nuijten
Optimal pension fund composition for an Italian private pension plan sponsor pp. 135-160 Downloads
Sebastiano Vitali, Vittorio Moriggia and Miloš Kopa
Flow-based formulations for operational fixed interval scheduling problems with random delays pp. 161-177 Downloads
Martin Branda and Štěpán Hájek
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