Computational Management Science

2003 - 2025

Current editor(s): Ruediger Schultz

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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

Volume 14, issue 4, 2017

Special issue on the 13th international conference on computational management science pp. 461-463

A. Alonso-Ayuso and F. Maggioni

Chebyshev reduced basis function applied to option valuation pp. 465-491

Javier Frutos and Víctor Gatón

Using tropical optimization to solve constrained minimax single-facility location problems with rectilinear distance pp. 493-518

Nikolai Krivulin

A discrete optimality system for an optimal harvesting problem pp. 519-533

Hacer Öz Bakan, Fikriye Yılmaz and Gerhard-Wilhelm Weber

On the impact of conditional expectation estimators in portfolio theory pp. 535-557

Sergio Ortobelli, Noureddine Kouaissah and Tomáš Tichý

Implied volatility and state price density estimation: arbitrage analysis pp. 559-583

Miloš Kopa, Sebastiano Vitali, Tomáš Tichý and Radek Hendrych

Centered solutions for uncertain linear equations pp. 585-610

Jianzhe Zhen and Dick Hertog

Volume 14, issue 3, 2017

Pricing catastrophe bonds with multistage stochastic programming pp. 297-312

Nick Georgiopoulos

Fast binomial procedures for pricing Parisian/ParAsian options pp. 313-331

Marcellino Gaudenzi and Antonino Zanette

Quality evaluation of scenario-tree generation methods for solving stochastic programming problems pp. 333-365

Julien Keutchayan, Michel Gendreau and Antoine Saucier

Regularised gradient boosting for financial time-series modelling pp. 367-391

Alexandros Agapitos, Anthony Brabazon and Michael O’Neill

Regularized decomposition of large scale block-structured robust optimization problems pp. 393-421

Wim Ackooij, Nicolas Lebbe and Jérôme Malick

Optimal trial duration times for multiple change points products lifetime distributions pp. 423-441

Rachele Foschi

A joint model of probabilistic/robust constraints for gas transport management in stationary networks pp. 443-460

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

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

Shuyi Wang and Aurélie Thiele

Numerical solutions to dynamic portfolio problems with upper bounds pp. 215-227

Mark Broadie and Weiwei Shen

Log-robust portfolio management with parameter ambiguity pp. 229-256

Ban Kawas and Aurelie Thiele

Novel approaches for portfolio construction using second order stochastic dominance pp. 257-280

Cristiano Arbex Valle, Diana Roman and Gautam Mitra

A developed slope order index (SOI) for bottlenecks in projects and production lines pp. 281-291

Mehdi Rajabi Asadabadi

Erratum to: Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study pp. 293-296

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

Miloš Kopa and Wolfram Wiesemann

A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches pp. 5-44

Francesca Maggioni, Florian A. Potra and Marida Bertocchi

Robust optimization of uncertain multistage inventory systems with inexact data in decision rules pp. 45-66

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

Jitka Dupačová and Václav Kozmík

Goldbach’s conjecture in max-algebra pp. 81-89

Peter Szabó

Direct solution to constrained tropical optimization problems with application to project scheduling pp. 91-113

Nikolai Krivulin

Robust shift generation in workforce planning pp. 115-134

Dori Hulst, Dick Hertog and Wim Nuijten

Optimal pension fund composition for an Italian private pension plan sponsor pp. 135-160

Sebastiano Vitali, Vittorio Moriggia and Miloš Kopa

Flow-based formulations for operational fixed interval scheduling problems with random delays pp. 161-177

Martin Branda and Štěpán Hájek