Computational Management Science

2003 - 2025

Current editor(s): Ruediger Schultz

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Volume 16, issue 4, 2019

Uncertainty, economics and optimization: recent developments pp. 541-543

Walter J. Gutjahr and Alois Pichler

The decision rule approach to optimization under uncertainty: methodology and applications pp. 545-576

Angelos Georghiou, Daniel Kuhn and Wolfram Wiesemann

B&B method for discrete partial order optimization pp. 577-592

Vladimir I. Norkin

Notoriously hard (mixed-)binary QPs: empirical evidence on new completely positive approaches pp. 593-619

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

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

Stefan Hochrainer-Stigler, Juraj Balkovič, Kadri Silm and Anna Timonina-Farkas

Arbitrage conditions for electricity markets with production and storage pp. 671-696

Raimund Kovacevic

Robustness analysis of generalized Jackson network pp. 697-714

Joost Berkhout, Bernd Heidergott, Jennifer Sommer and Hans Daduna

A simultaneous perturbation weak derivative estimator for stochastic neural networks pp. 715-738

Thomas Flynn and Felisa Vázquez-Abad

The value of the right distribution in stochastic programming with application to a Newsvendor problem pp. 739-758

Francesca Maggioni, Matteo Cagnolari and Luca Bertazzi

Volume 16, issue 3, 2019

Data-driven optimization in management pp. 371-374

Giorgio Consigli and Anton Kleywegt

Sparse precision matrices for minimum variance portfolios pp. 375-400

Gabriele Torri, Rosella Giacometti and Sandra Paterlini

Un-diversifying during crises: Is it a good idea? pp. 401-432

Margherita Giuzio and Sandra Paterlini

Volatility versus downside risk: performance protection in dynamic portfolio strategies pp. 433-479

Diana Barro, Elio Canestrelli and Giorgio Consigli

The wait-and-judge scenario approach applied to antenna array design pp. 481-499

Algo Carè, Simone Garatti and Marco C. Campi

Optimized operating rules for short-term hydropower planning in a stochastic environment pp. 501-519

Alexia Marchand, Michel Gendreau, Marko Blais and Jonathan Guidi

Observational data-based quality assessment of scenario generation for stochastic programs pp. 521-540

Didem Sarı Ay and Sarah M. Ryan

Volume 16, issue 1, 2019

14th International Conference on Computational Management Science pp. 1-2

Rosella Giacometti and Berç Rustem

Blocks of coordinates, stochastic programming, and markets pp. 3-16

Sjur Didrik Flåm

Multistage portfolio optimization with multivariate dominance constraints pp. 17-46

Barbora Petrová

Optimal strategies with option compensation under mean reverting returns or volatilities pp. 47-69

Stefano Herzel and Marco Nicolosi

Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization pp. 71-95

Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji

Timing portfolio strategies with exponential Lévy processes pp. 97-127

Sergio Ortobelli Lozza, Enrico Angelelli and Alda Ndoci

Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study pp. 129-154

Giorgio Consigli, Asmerilda Hitaj and Elisa Mastrogiacomo

Identifying systemically important financial institutions: a network approach pp. 155-185

Pablo Rovira Kaltwasser and Alessandro Spelta

Tempered stable process, first passage time, and path-dependent option pricing pp. 187-215

Young Shin Kim

Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models pp. 217-248

Ludovic Goudenege, Andrea Molent and Antonino Zanette

European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions pp. 249-274

Martina Nardon and Paolo Pianca

Calibration of one-factor and two-factor Hull–White models using swaptions pp. 275-295

Vincenzo Russo and Gabriele Torri

Simulation and evaluation of the distribution of interest rate risk pp. 297-327

Johan Hagenbjörk and Jörgen Blomvall

Big data analytics: an aid to detection of non-technical losses in power utilities pp. 329-343

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

Rüdiger Kiesel, Florentina Paraschiv and Audun Sætherø

Volume 15, issue 3, 2018

The stochastic programming heritage of Maarten van der Vlerk pp. 319-323

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

Niels Laan, Ward Romeijnders and Maarten H. Vlerk

Distributionally robust simple integer recourse pp. 351-367

Weijun Xie and Shabbir Ahmed

Decision-dependent probabilities in stochastic programs with recourse pp. 369-395

Lars Hellemo, Paul I. Barton and Asgeir Tomasgard

Stochastic programs with binary distributions: structural properties of scenario trees and algorithms pp. 397-410

Vit Prochazka and Stein Wallace

Strong convexity in risk-averse stochastic programs with complete recourse pp. 411-429

Matthias Claus, Rüdiger Schultz and Kai Spürkel

Distributionally robust SDDP pp. 431-454

A. B. Philpott, V. L. Matos and L. Kapelevich

New solution approaches for the maximum-reliability stochastic network interdiction problem pp. 455-477

Eli Towle and James Luedtke

On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management pp. 479-500

Laureano F. Escudero and Juan F. Monge

A Progressive Hedging based branch-and-bound algorithm for mixed-integer stochastic programs pp. 501-540

Semih Atakan and Suvrajeet Sen

A systematic approach for examining the impact of calibration uncertainty in disease modeling pp. 541-561

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

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

Miguel Lejeune and Janne Kettunen

Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming pp. 599-632

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

Christina Erlwein-Sayer and Ronald Hochreiter

Portfolio selection under supply chain predictability pp. 139-159

Thomas Trier Bjerring, Kourosh Marjani Rasmussen and Alex Weissensteiner

Approximation for portfolio optimization in a financial market with shot-noise jumps pp. 161-186

Oleksandra Putyatina and Jörn Sass

ALM models based on second order stochastic dominance pp. 187-211

Maram Alwohaibi and Diana Roman

Computation of the Delta of European options under stochastic volatility models pp. 213-237

Yeliz Yolcu-Okur, Tilman Sayer, Bilgi Yilmaz and B. Alper Inkaya

Modeling and implementation of local volatility surfaces in Bayesian framework pp. 239-258

Abdulwahab Animoku, Ömür Uğur and Yeliz Yolcu-Okur

Putting a price tag on temperature pp. 259-296

Heng Xiong and Rogemar Mamon

Determination and estimation of risk aversion coefficients pp. 297-317

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

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

Paolo Barucca and Fabrizio Lillo

A successive linear programming algorithm with non-linear time series for the reservoir management problem pp. 55-86

Charles Gauvin, Erick Delage and Michel Gendreau

Stochastic dynamic programming approach to managing power system uncertainty with distributed storage pp. 87-110

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

Guanglin Xu and Samuel Burer