Computational Management Science

2003 - 2025

Current editor(s): Ruediger Schultz

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Volume 8, issue 4, 2011

On the role of norm constraints in portfolio selection pp. 323-353

Jun-ya Gotoh and Akiko Takeda

Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems pp. 355-370

Jean-Paul Watson and David Woodruff

Path loss prediction in urban environment using learning machines and dimensionality reduction techniques pp. 371-385

M. Piacentini and F. Rinaldi

Estimation of risk-neutral density surfaces pp. 387-414

A. Monteiro, R. Tütüncü and L. Vicente

Kernel logistic regression using truncated Newton method pp. 415-428

Maher Maalouf, Theodore Trafalis and Indra Adrianto

Volume 8, issue 3, 2011

Restricted generalized Nash equilibria and controlled penalty algorithm pp. 201-218

Masao Fukushima

Participating life insurance policies: an accurate and efficient parallel software for COTS clusters pp. 219-236

S. Corsaro, P. De Angelis, Z. Marino and F. Perla

Cognitive and self-selective routing for sensor networks pp. 237-258

Erol Gelenbe, Peixiang Liu, Boleslaw Szymanski and Christopher Morrell

Multiobjective evolutionary algorithms for complex portfolio optimization problems pp. 259-279

Konstantinos Anagnostopoulos and Georgios Mamanis

Linear classification tikhonov regularization knowledge-based support vector machine for tornado forecasting pp. 281-297

Theodore Trafalis, Olutayo Oladunni and Michael Richman

Gain–loss based convex risk limits in discrete-time trading pp. 299-321

Mustafa Pınar

Volume 8, issue 1, 2011

Preface pp. 1-2

Daniel Kuhn

Mean-variance versus expected utility in dynamic investment analysis pp. 3-22

Leonard MacLean, Yonggan Zhao and William Ziemba

Dynamic modeling of mean-reverting spreads for statistical arbitrage pp. 23-49

Kostas Triantafyllopoulos and Giovanni Montana

Implementing quasi-Monte Carlo simulations with linear transformations pp. 51-74

Piergiacomo Sabino

Day-ahead market bidding for a Nordic hydropower producer: taking the Elbas market into account pp. 75-101

Eduardo Faria and Stein-Erik Fleten

Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model pp. 103-123

Peter Winker, Marianna Lyra and Chris Sharpe

Pricing cliquet options by tree methods pp. 125-135

Marcellino Gaudenzi and Antonino Zanette

Collective adjustment of pension rights in ALM models pp. 137-156

Willem Klein Haneveld, Matthijs Streutker and Maarten Vlerk

Multiobjective optimization using differential evolution for real-world portfolio optimization pp. 157-179

Thiemo Krink and Sandra Paterlini

Shape-based scenario generation using copulas pp. 181-199

Michal Kaut and Stein Wallace

Volume 7, issue 4, 2010

Bottom-up design of strategic options as finite automata pp. 355-375

Fernando Oliveira

Formulation and analysis of horizontal mergers among oligopolistic firms with insights into the merger paradox: a supply chain network perspective pp. 377-406

Anna Nagurney

MILP-based approaches for medium-term planning of single-stage continuous multiproduct plants with parallel units pp. 407-435

Songsong Liu, Jose Pinto and Lazaros Papageorgiou

DrAmpl: a meta solver for optimization problem analysis pp. 437-463

R. Fourer and Dominique Orban

Volume 7, issue 3, 2010

Foreword pp. 225-227

Paolo Toth

An exact solution framework for a broad class of vehicle routing problems pp. 229-268

Roberto Baldacci, Enrico Bartolini, Aristide Mingozzi and Roberto Roberti

A metaheuristic for the min–max windy rural postman problem with K vehicles pp. 269-287

Enrique Benavent, Ángel Corberán and José Sanchis

Reformulations and solution algorithms for the maximum leaf spanning tree problem pp. 289-311

Abilio Lucena, Nelson Maculan and Luidi Simonetti

A new path-based cutting plane approach for the discrete time-cost tradeoff problem pp. 313-336

Eleni Hadjiconstantinou and Evelina Klerides

An approximate solution approach for a scenario-based capital budgeting model pp. 337-353

Anabela Costa and José Paixão

Volume 7, issue 2, 2010

Solving a large scale semi-definite logit model pp. 111-120

Hiroshi Konno, Sadanori Kameda and Naoya Kawadai

Optimal routing of vehicles with communication capabilities in disasters pp. 121-137

Mingzhou Jin and Burak Ekşioğlu

Towards a practical parallelisation of the simplex method pp. 139-170

J. Hall

American option pricing under stochastic volatility: an efficient numerical approach pp. 171-187

Farid AitSahlia, Manisha Goswami and Suchandan Guha

American option pricing under stochastic volatility: an empirical evaluation pp. 189-206

Farid AitSahlia, Manisha Goswami and Suchandan Guha

Computational study of the GDPO dual phase-1 algorithm pp. 207-223

István Maros

Volume 7, issue 1, 2010

Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing pp. 1-17

Martin Becker

A mixed-integer mathematical modeling approach to exam timetabling pp. 19-46

Salem Al-Yakoob, Hanif Sherali and Mona Al-Jazzaf

A maximal predictability portfolio using absolute deviation reformulation pp. 47-60

Hiroshi Konno, Yuuhei Morita and Rei Yamamoto

A hydrodynamic modelling framework for production networks pp. 61-83

Apostolos Kotsialos

Active control of visual sensor for navigation and guidance pp. 85-110

Chengyu Cao, Naira Hovakimyan and Johnny Evers

Volume 6, issue 4, 2009

A multi-parametric programming approach for multilevel hierarchical and decentralised optimisation problems pp. 377-397

Nuno Faísca, Pedro Saraiva, Berç Rustem and Efstratios Pistikopoulos

A discrete approach to designing optimal hedging-point control policies for production-inventory systems with general stochastic behavior pp. 399-409

B. Khoury

Inner and outer loop optimization in semiconductor manufacturing supply chain management pp. 411-434

Wenlin Wang, Daniel Rivera and Hans Mittelmann

Persistency and matroid intersection pp. 435-445

D. Magos, I. Mourtos and L. Pitsoulis

Comparative studies on dynamic programming and integer programming approaches for concave cost production/inventory control problems pp. 447-457

Hiroshi Konno, Takaaki Egawa and Rei Yamamoto

Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA pp. 459-475

Hoai An Le Thi, Mahdi Moeini and Tao Pham Dinh

DC programming and DCA for globally solving the value-at-risk pp. 477-501

Tao Pham Dinh, Nguyen Nam and Hoai An Le Thi

Volume 6, issue 3, 2009

A genetic approach for strategic resource allocation planning pp. 269-280

Pavlos Delias and Nikolaos Matsatsinis

Exact methods for large-scale multi-period financial planning problems pp. 281-306

R. Baldacci, M. Boschetti, N. Christofides and S. Christofides

On multistage Stochastic Integer Programming for incorporating logical constraints in asset and liability management under uncertainty pp. 307-327

Laureano Escudero, María Garín, María Merino and Gloria Pérez

A global optimization problem in portfolio selection pp. 329-345

M. Bartholomew-Biggs and S. Kane

A multicriteria approach for rating the credit risk of financial institutions pp. 347-356

G. Baourakis, M. Conisescu, G. Dijk, P. Pardalos and C. Zopounidis

A fixed-center spherical separation algorithm with kernel transformations for classification problems pp. 357-372

A. Astorino and M. Gaudioso

Quasi-variational inequalities, generalized Nash equilibria, and multi-leader-follower games pp. 373-375

Jong-Shi Pang and Masao Fukushima

Volume 6, issue 2, 2009

Introduction to the special issue on computational optimization under uncertainty pp. 115-116

Ronald Hochreiter and Georg Pflug

Scenario tree reduction for multistage stochastic programs pp. 117-133

Holger Heitsch and Werner Römisch

Exploiting structure in parallel implementation of interior point methods for optimization pp. 135-160

Jacek Gondzio and Andreas Grothey

Testing the structure of multistage stochastic programs pp. 161-185

Jitka Dupačová, Marida Bertocchi and Vittorio Moriggia

A stochastic programming approach for multi-period portfolio optimization pp. 187-208

Alois Geyer, Michael Hanke and Alex Weissensteiner

Computational methods for incentive option valuation pp. 209-231

Markku Kallio and Antti Pirjetä

Risk aversion for an electricity retailer with second-order stochastic dominance constraints pp. 233-250

Miguel Carrión, Uwe Gotzes and Rüdiger Schultz

Stochastic optimization models for a single-sink transportation problem pp. 251-267

Francesca Maggioni, Michal Kaut and Luca Bertazzi

Volume 6, issue 1, 2009

Guest Editorial pp. 1-3

O. Kundakcioglu, Marcello Sanguineti and Theodore Trafalis

Nonparametric nonlinear regression using polynomial and neural approximators: a numerical comparison pp. 5-24

A. Alessandri, L. Cassettari and R. Mosca

Feature selection for high-dimensional data pp. 25-40

Augusto Destrero, Sofia Mosci, Christine Mol, Alessandro Verri and Francesca Odone

Self-adaptive support vector machines: modelling and experiments pp. 41-51

Peng Du, Jiming Peng and Tamás Terlaky

The weight-decay technique in learning from data: an optimization point of view pp. 53-79

Giorgio Gnecco and Marcello Sanguineti

A nonlinear multi-classification knowledge-based kernel machine pp. 81-100

Olutayo Oladunni and Theodore Trafalis

Multicategory classification via discrete support vector machines pp. 101-114

Carlotta Orsenigo and Carlo Vercellis