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Computational Management Science

2003 - 2021

Current editor(s): Ruediger Schultz

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Volume 18, issue 3, 2021

Recent advances in applied optimization under uncertainty pp. 265-265 Downloads
Stein-Erik Fleten and Rüdiger Schultz
Stochastic single machine scheduling problem as a multi-stage dynamic random decision process pp. 267-297 Downloads
Mina Roohnavazfar, Daniele Manerba, Lohic Fotio Tiotsop, Seyed Hamid Reza Pasandideh and Roberto Tadei
Quantile-based optimal portfolio selection pp. 299-324 Downloads
Taras Bodnar, Mathias Lindholm, Erik Thorsén and Joanna Tyrcha
A node formulation for multistage stochastic programs with endogenous uncertainty pp. 325-354 Downloads
Giovanni Pantuso
Quantile– based portfolios: post– model– selection estimation with alternative specifications pp. 355-383 Downloads
Giovanni Bonaccolto
A hybrid dynamic programming - Tabu Search approach for the long-term hydropower scheduling problem pp. 385-410 Downloads
Yves Mbeutcha, Michel Gendreau and Gregory Emiel
Scenario generation by selection from historical data pp. 411-429 Downloads
Michal Kaut

Volume 18, issue 2, 2021

Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments pp. 125-148 Downloads
Michelle Bandarra and Vincent Guigues
On the application of Wishart process to the pricing of equity derivatives: the multi-asset case pp. 149-176 Downloads
Gaetano Bua and Daniele Marazzina
Some new perspectives for solving 0–1 integer programming problems using Balas method pp. 177-193 Downloads
J. Glover, V. Quan and S. Zolfaghari
Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns pp. 195-212 Downloads
Songkomkrit Chaiyakan and Phantipa Thipwiwatpotjana
Catastrophic risks and the pricing of catastrophe equity put options pp. 213-237 Downloads
Massimo Arnone, Michele Leonardo Bianchi, Anna Grazia Quaranta and Gian Luca Tassinari
Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation pp. 239-263 Downloads
Luca Vincenzo Ballestra

Volume 18, issue 1, 2021

Empirically assessing noisy necessary conditions with activation functions pp. 1-23 Downloads
Wolfgang Messner
Directional approach to gradual cover: the continuous case pp. 25-47 Downloads
Tammy Drezner, Zvi Drezner and Pawel Kalczynski
A new approximation approach to optimality and duality for a class of nonconvex differentiable vector optimization problems pp. 49-71 Downloads
Tadeusz Antczak
How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? pp. 73-97 Downloads
Januj Amar Juneja
Can restrictions on redemption timing boost profitability of loyalty programs in competitive environments? pp. 99-124 Downloads
Amirhossein Bazargan, Salma Karray and Saeed Zolfaghari

Volume 17, issue 4, 2020

AI, Machine Learning and sentiment analysis applied to financial markets and consumer markets pp. 493-494 Downloads
Enza Messina, Christina Erlwein-Sayer and Gautam Mitra
Hyperparameter optimization for recommender systems through Bayesian optimization pp. 495-515 Downloads
B. G. Galuzzi, I. Giordani, A. Candelieri, R. Perego and F. Archetti
A recommender system for active stock selection pp. 517-547 Downloads
Giuliano Rossi, Jakub Kolodziej and Gurvinder Brar
Risk attribution and interconnectedness in the EU via CDS data pp. 549-567 Downloads
R. Giacometti, G. Torri, G. Farina and M. E. Giuli
A missing value approach to social network data: “Dislike” or “Nothing”? pp. 569-583 Downloads
Paolo Mariani, Andrea Marletta, Mauro Mussini, Mariangela Zenga and Erika Grammatica
Including news data in forecasting macro economic performance of China pp. 585-611 Downloads
Asger Lunde and Miha Torkar
Dynamic portfolio allocation in goals-based wealth management pp. 613-640 Downloads
Sanjiv R. Das, Daniel Ostrov, Anand Radhakrishnan and Deep Srivastav

Volume 17, issue 3, 2020

Distributionally robust optimization with multiple time scales: valuation of a thermal power plant pp. 357-385 Downloads
Wim Ackooij, Debora Daniela Escobar, Martin Glanzer and Georg Ch. Pflug
Correction to: Distributionally robust optimization with multiple time scales: valuation of a thermal power plant pp. 387-387 Downloads
Wim Ackooij, Debora Daniela Escobar, Martin Glanzer and Georg Ch. Pflug
An exact and a heuristic approach for the transportation-p-facility location problem pp. 389-407 Downloads
Soumen Kumar Das, Sankar Kumar Roy and Gerhard Wilhelm Weber
Optimization techniques for tree-structured nonlinear problems pp. 409-436 Downloads
Jens Hübner, Martin Schmidt and Marc C. Steinbach
Tropical optimization technique in bi-objective project scheduling under temporal constraints pp. 437-464 Downloads
Nikolai Krivulin
The Black–Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation pp. 465-492 Downloads
Erindi Allaj

Volume 17, issue 2, 2020

Editorial pp. 161-162 Downloads
Stein-Erik Fleten and Florentina Paraschiv
Computing credit valuation adjustment solving coupled PIDEs in the Bates model pp. 163-178 Downloads
Ludovic Goudenège, Andrea Molent and Antonino Zanette
Asset allocation under predictability and parameter uncertainty using LASSO pp. 179-201 Downloads
Andrea Rigamonti and Alex Weissensteiner
Portfolio stress testing applied to commodity futures pp. 203-240 Downloads
Florentina Paraschiv, Stine Marie Reese and Margrethe Ringkjøb Skjelstad
Evaluation of scenario reduction algorithms with nested distance pp. 241-275 Downloads
Markéta Horejšová, Sebastiano Vitali, Miloš Kopa and Vittorio Moriggia
Scenario tree construction driven by heuristic solutions of the optimization problem pp. 277-307 Downloads
Vit Prochazka and Stein Wallace
Modeling flexible generator operating regions via chance-constrained stochastic unit commitment pp. 309-326 Downloads
Bismark Singh, Bernard Knueven and Jean-Paul Watson
Optimal inventory policy through dual sourcing pp. 327-355 Downloads
Matthew Davison, Yuri Lawryshyn and Volodymyr Miklyukh

Volume 17, issue 1, 2020

Using the generalized maximum covering location model to control a project’s progress pp. 1-21 Downloads
Narjes Sabeghi and Hamed Reza Tareghian
Customer satisfaction: a mathematical framework for its analysis and its measurement pp. 23-45 Downloads
R. Ferrentino and C. Boniello
Modelling an energy market with Bayesian networks for non-normal data pp. 47-64 Downloads
Vincenzina Vitale, Flaminia Musella, Paola Vicard and Valentina Guizzi
An approximation to max min fairness in multi commodity networks pp. 65-77 Downloads
Hamoud S. Bin Obaid and Theodore B. Trafalis
Using tropical optimization techniques in bi-criteria decision problems pp. 79-104 Downloads
Nikolai Krivulin
The Skew Normal multivariate risk measurement framework pp. 105-119 Downloads
Mauro Bernardi, Roy Cerqueti and Arsen Palestini
Directional approach to gradual cover: a maximin objective pp. 121-139 Downloads
Tammy Drezner, Zvi Drezner and Pawel Kalczynski
Progressive hedging for stochastic programs with cross-scenario inequality constraints pp. 141-160 Downloads
Ellen Krohn Aasgård and Hans Ivar Skjelbred

Volume 16, issue 4, 2019

Uncertainty, economics and optimization: recent developments pp. 541-543 Downloads
Walter J. Gutjahr and Alois Pichler
The decision rule approach to optimization under uncertainty: methodology and applications pp. 545-576 Downloads
Angelos Georghiou, Daniel Kuhn and Wolfram Wiesemann
B&B method for discrete partial order optimization pp. 577-592 Downloads
Vladimir I. Norkin
Notoriously hard (mixed-)binary QPs: empirical evidence on new completely positive approaches pp. 593-619 Downloads
Immanuel M. Bomze, Jianqiang Cheng, Peter J. C. Dickinson, Abdel Lisser and Jia Liu
Exploring the dynamics of business survey data using Markov models pp. 621-649 Downloads
Werner Hölzl, S. Kaniovski and Y. Kaniovski
Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria pp. 651-669 Downloads
Stefan Hochrainer-Stigler, Juraj Balkovič, Kadri Silm and Anna Timonina-Farkas
Arbitrage conditions for electricity markets with production and storage pp. 671-696 Downloads
Raimund Kovacevic
Robustness analysis of generalized Jackson network pp. 697-714 Downloads
Joost Berkhout, Bernd Heidergott, Jennifer Sommer and Hans Daduna
A simultaneous perturbation weak derivative estimator for stochastic neural networks pp. 715-738 Downloads
Thomas Flynn and Felisa Vázquez-Abad
The value of the right distribution in stochastic programming with application to a Newsvendor problem pp. 739-758 Downloads
Francesca Maggioni, Matteo Cagnolari and Luca Bertazzi

Volume 16, issue 3, 2019

Data-driven optimization in management pp. 371-374 Downloads
Giorgio Consigli and Anton Kleywegt
Sparse precision matrices for minimum variance portfolios pp. 375-400 Downloads
Gabriele Torri, Rosella Giacometti and Sandra Paterlini
Un-diversifying during crises: Is it a good idea? pp. 401-432 Downloads
Margherita Giuzio and Sandra Paterlini
Volatility versus downside risk: performance protection in dynamic portfolio strategies pp. 433-479 Downloads
Diana Barro, Elio Canestrelli and Giorgio Consigli
The wait-and-judge scenario approach applied to antenna array design pp. 481-499 Downloads
Algo Carè, Simone Garatti and Marco C. Campi
Optimized operating rules for short-term hydropower planning in a stochastic environment pp. 501-519 Downloads
Alexia Marchand, Michel Gendreau, Marko Blais and Jonathan Guidi
Observational data-based quality assessment of scenario generation for stochastic programs pp. 521-540 Downloads
Didem Sarı Ay and Sarah M. Ryan

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
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