Computational Management Science

2003 - 2025

Current editor(s): Ruediger Schultz

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Volume 19, issue 4, 2022

An L-shaped method with strengthened lift-and-project cuts pp. 539-565

Pavlo Glushko, Csaba I. Fábián and Achim Koberstein

American options and stochastic interest rates pp. 567-604

Anna Battauz and Francesco Rotondi

Divide and conquer: the engineering of delegation pp. 605-626

Simona Settepanella, Gennaro Amendola, Luigi Marengo and Connor Minto

Network manipulation algorithm based on inexact alternating minimization pp. 627-664

David Müller and Vladimir Shikhman

Forecasting financial time series with Boltzmann entropy through neural networks pp. 665-681

Luca Grilli and Domenico Santoro

An agricultural investment problem subject to probabilistic constraints pp. 683-701

Kawtar El Karfi, René Henrion and Driss Mentagui

Insurance premium-based shortfall risk measure induced by cumulative prospect theory pp. 703-738

Sainan Zhang and Huifu Xu

Volume 19, issue 3, 2022

Multi-criteria supplier selection problem with fuzzy demand: a newsvendor model pp. 375-394

Omid Jadidi, Fatemeh Firouzi, John S. Loucks and Yong Shin Park

Modeling and mitigating supply chain disruptions as a bilevel network flow problem pp. 395-423

René Y. Glogg, Anna Timonina-Farkas and Ralf W. Seifert

A tail-revisited Markowitz mean-variance approach and a portfolio network centrality pp. 425-455

Francesca Mariani, Gloria Polinesi and Maria Cristina Recchioni

Kalman filter approach to real options with active learning pp. 457-490

Sebastian Sund, Lars H. Sendstad and Jacco J. J. Thijssen

Quantum game approach for capacity allocation decisions under strategic reasoning pp. 491-512

Masih Fadaki, Babak Abbasi and Prem Chhetri

Accuracy and fairness trade-offs in machine learning: a stochastic multi-objective approach pp. 513-537

Suyun Liu and Luis Nunes Vicente

Volume 19, issue 2, 2022

A comprehensive study of domain-specific emoji meanings in sentiment classification pp. 159-197

Nader Mahmoudi, Łukasz P. Olech and Paul Docherty

Parallel and distributed computing for stochastic dual dynamic programming pp. 199-226

D. Ávila, A. Papavasiliou and N. Löhndorf

Correction to: Parallel and distributed computing for stochastic dual dynamic programming pp. 227-228

D. Ávila, A. Papavasiliou and N. Löhndorf

Welfare and research and development incentive effects of uniform and differential pricing schemes pp. 229-268

Giorgio Gnecco, Fabio Pammolli and Berna Tuncay

The nested Sinkhorn divergence to learn the nested distance pp. 269-293

Alois Pichler and Michael Weinhardt

A Stackelberg game for the Italian tax evasion problem pp. 295-307

Gianfranco Gambarelli, Daniele Gervasio, Francesca Maggioni and Daniel Faccini

The spot and balancing markets for electricity: open- and closed-loop equilibrium models pp. 309-346

Trine Krogh Boomsma, Salvador Pineda and Ditte Mølgård Heide-Jørgensen

ESG score prediction through random forest algorithm pp. 347-373

Valeria D’Amato, Rita D’Ecclesia and Susanna Levantesi

Volume 19, issue 1, 2022

Computing nonperforming loan prices in banking efficiency analysis pp. 1-23

Elisa Fusco and Bernardo Maggi

Black’s model in a negative interest rate environment, with application to OTC derivatives pp. 25-39

Riccardo Bramante, Gimmi Dallago and Silvia Facchinetti

Constructing banking networks under decreasing costs of link formation pp. 41-64

Dietmar Maringer, Ben Craig and Sandra Paterlini

Predictive stochastic programming pp. 65-98

Yunxiao Deng and Suvrajeet Sen

Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process pp. 99-132

Massimiliano Frezza, Sergio Bianchi and Augusto Pianese

Non-tradability interval for heterogeneous rational players in the option markets pp. 133-157

Yossi Shvimer and Avi Herbon

Volume 18, issue 4, 2021

A diversified AHP-tree approach for multiple-criteria supplier selection pp. 431-453

Toly Chen

Multilevel multi-leader multiple-follower games with nonseparable objectives and shared constraints pp. 455-475

Addis Belete Zewde and Semu Mitiku Kassa

The relative efficiency of option hedging strategies using the third-order stochastic dominance pp. 477-504

Margareta Gardijan Kedžo and Boško Šego

Coordination of power and natural gas markets via financial instruments pp. 505-538

Anna Schwele, Christos Ordoudis, Pierre Pinson and Jalal Kazempour

Implicit incentives for fund managers with partial information pp. 539-561

Flavio Angelini, Katia Colaneri, Stefano Herzel and Marco Nicolosi

Numerical estimates of risk factors contingent on credit ratings pp. 563-589

T. Gärtner, S. Kaniovski and Y. Kaniovski

Volume 18, issue 3, 2021

Recent advances in applied optimization under uncertainty pp. 265-265

Stein-Erik Fleten and Rüdiger Schultz

Stochastic single machine scheduling problem as a multi-stage dynamic random decision process pp. 267-297

Mina Roohnavazfar, Daniele Manerba, Lohic Fotio Tiotsop, Seyed Hamid Reza Pasandideh and Roberto Tadei

Quantile-based optimal portfolio selection pp. 299-324

Taras Bodnar, Mathias Lindholm, Erik Thorsén and Joanna Tyrcha

A node formulation for multistage stochastic programs with endogenous uncertainty pp. 325-354

Giovanni Pantuso

Quantile– based portfolios: post– model– selection estimation with alternative specifications pp. 355-383

Giovanni Bonaccolto

A hybrid dynamic programming - Tabu Search approach for the long-term hydropower scheduling problem pp. 385-410

Yves Mbeutcha, Michel Gendreau and Gregory Emiel

Scenario generation by selection from historical data pp. 411-429

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

Michelle Bandarra and Vincent Guigues

On the application of Wishart process to the pricing of equity derivatives: the multi-asset case pp. 149-176

Gaetano Bua and Daniele Marazzina

Some new perspectives for solving 0–1 integer programming problems using Balas method pp. 177-193

J. Glover, V. Quan and S. Zolfaghari

Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns pp. 195-212

Songkomkrit Chaiyakan and Phantipa Thipwiwatpotjana

Catastrophic risks and the pricing of catastrophe equity put options pp. 213-237

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

Luca Vincenzo Ballestra

Volume 18, issue 1, 2021

Empirically assessing noisy necessary conditions with activation functions pp. 1-23

Wolfgang Messner

Directional approach to gradual cover: the continuous case pp. 25-47

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

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

Januj Amar Juneja

Can restrictions on redemption timing boost profitability of loyalty programs in competitive environments? pp. 99-124

Amirhossein Bazargan, Salma Karray and Saeed Zolfaghari