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Computational Management Science

2003 - 2018

Current editor(s): Ruediger Schultz

From Springer
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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

Volume 13, issue 4, 2016

A moment matching approach to log-normal portfolio optimization pp. 501-520 Downloads
Elçin Çetinkaya and Aurélie Thiele
On the customer lifetime value: a mathematical perspective pp. 521-539 Downloads
R. Ferrentino, M. T. Cuomo and C. Boniello
Bootstrap estimation of the efficient frontier pp. 541-570 Downloads
Begoña Font
On the minimum-cost $$\lambda $$ λ -edge-connected k-subgraph problem pp. 571-596 Downloads
Elham Sadeghi and Neng Fan
Advance selling to strategic consumers pp. 597-626 Downloads
Michelle M. H. Şeref, Onur Şeref, Aydın Alptekinoğlu and S. Selçuk Erengüç

Volume 13, issue 3, 2016

An improved Lagrangian relaxation and dual ascent approach to facility location problems pp. 317-348 Downloads
Kurt Jörnsten and Andreas Klose
Economics of collective monitoring: a study of environmentally constrained electricity generators pp. 349-369 Downloads
J. Contreras, Jacek Krawczyk and James Zuccollo
Accelerating viability kernel computation with CUDA architecture: application to bycatch fishery management pp. 371-391 Downloads
Antoine Brias, Jean-Denis Mathias and Guillaume Deffuant
Penalized sample average approximation methods for stochastic programs in economic and secure dispatch of a power system pp. 393-422 Downloads
X. J. Tong, H. Xu, F. F. Wu and Z. Zhao
Monotonic bounds in multistage mixed-integer stochastic programming pp. 423-457 Downloads
Francesca Maggioni, Elisabetta Allevi and Marida Bertocchi
Protecting the data-driven newsvendor against rare events: a correction-term approach pp. 459-482 Downloads
Gokhan Metan and Aurélie Thiele
Investment in electric energy storage under uncertainty: a real options approach pp. 483-500 Downloads
Ida Bakke, Stein-Erik Fleten, Lars Ivar Hagfors, Verena Hagspiel, Beate Norheim and Sonja Wogrin

Volume 13, issue 2, 2016

Computational management science special issue on “Robust Optimization and Applications” pp. 147-149 Downloads
Erick Delage and Dan Iancu
Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study pp. 151-193 Downloads
Andreas Bärmann, Andreas Heidt, Alexander Martin, Sebastian Pokutta and Christoph Thurner
Reformulation versus cutting-planes for robust optimization pp. 195-217 Downloads
Dimitris Bertsimas, Iain Dunning and Miles Lubin
Decomposition for adjustable robust linear optimization subject to uncertainty polytope pp. 219-239 Downloads
Josette Ayoub and Michael Poss
Likelihood robust optimization for data-driven problems pp. 241-261 Downloads
Zizhuo Wang, Peter W. Glynn and Yinyu Ye
New product launch decisions with robust optimization pp. 263-292 Downloads
Elcin Cetinkaya and Aurélie Thiele
On the average performance of the adjustable RO and its use as an offline tool for multi-period production planning under uncertainty pp. 293-315 Downloads
Michal Melamed, Aharon Ben-Tal and Boaz Golany

Volume 13, issue 1, 2016

Computational Management Science Special Issue on “Optimisation methods and applications in the energy sector” pp. 1-3 Downloads
Stein-Erik Fleten, Daniel Kuhn and Afzal Siddiqui
Computational Management Science Special Issue on “Optimisation methods and applications in the energy sector” pp. 1-3 Downloads
Stein-Erik Fleten, Daniel Kuhn and Afzal Siddiqui
The impact of wind uncertainty on the strategic valuation of distributed electricity storage pp. 5-27 Downloads
Pedro Crespo Del Granado, Stein Wallace and Zhan Pang
The impact of wind uncertainty on the strategic valuation of distributed electricity storage pp. 5-27 Downloads
Pedro Crespo Del Granado, Stein Wallace and Zhan Pang
Solution sensitivity-based scenario reduction for stochastic unit commitment pp. 29-62 Downloads
Yonghan Feng and Sarah M. Ryan
Solution sensitivity-based scenario reduction for stochastic unit commitment pp. 29-62 Downloads
Yonghan Feng and Sarah Ryan
The natural hedge of a gas-fired power plant pp. 63-86 Downloads
Xiaojia Guo, Alexandros Beskos and Afzal Siddiqui
The natural hedge of a gas-fired power plant pp. 63-86 Downloads
Xiaojia Guo, Alexandros Beskos and Afzal Siddiqui
A leader-followers model of power transmission capacity expansion in a market driven environment pp. 87-118 Downloads
Paolo Pisciella, Marida Bertocchi and Maria Teresa Vespucci
A leader-followers model of power transmission capacity expansion in a market driven environment pp. 87-118 Downloads
Paolo Pisciella, Marida Bertocchi and Maria Vespucci
A dynamic programming model of energy storage and transformer deployments to relieve distribution constraints pp. 119-146 Downloads
Xiaomin Xi and Ramteen Sioshansi
A dynamic programming model of energy storage and transformer deployments to relieve distribution constraints pp. 119-146 Downloads
Xiaomin Xi and Ramteen Sioshansi
Page updated 2018-08-17