Computational Management Science Short Title: Comput. Manag. Sci. Publisher: Springer, Berlin/Heidelberg ISSN: 1619-697X; 1619-6988/e Online: https://link.springer.com/journal/10287/volumes-and-issues Comments: Journal Documents Indexed: 448 Publications (since 2004) References Indexed: 386 Publications with 12,664 References. all top 5 Latest Issues 20, No. 1 (2023) 19, No. 4 (2022) 19, No. 3 (2022) 19, No. 2 (2022) 19, No. 1 (2022) 18, No. 4 (2021) 18, No. 3 (2021) 18, No. 2 (2021) 18, No. 1 (2021) 17, No. 4 (2020) 17, No. 3 (2020) 17, No. 2 (2020) 17, No. 1 (2020) 16, No. 4 (2019) 16, No. 3 (2019) 16, No. 1-2 (2019) 15, No. 3-4 (2018) 15, No. 2 (2018) 15, No. 1 (2018) 14, No. 4 (2017) 14, No. 3 (2017) 14, No. 2 (2017) 14, No. 1 (2017) 13, No. 4 (2016) 13, No. 3 (2016) 13, No. 2 (2016) 13, No. 1 (2016) 12, No. 4 (2015) 12, No. 3 (2015) 12, No. 2 (2015) 12, No. 1 (2015) 11, No. 4 (2014) 11, No. 3 (2014) 11, No. 1-2 (2014) 10, No. 4 (2013) 10, No. 2-3 (2013) 10, No. 1 (2013) 9, No. 4 (2012) 9, No. 3 (2012) 9, No. 2 (2012) 9, No. 1 (2012) 8, No. 4 (2011) 8, No. 3 (2011) 8, No. 1-2 (2011) 7, No. 4 (2010) 7, No. 3 (2010) 7, No. 2 (2010) 7, No. 1 (2010) 6, No. 4 (2009) 6, No. 3 (2009) 6, No. 2 (2009) 6, No. 1 (2009) 5, No. 4 (2008) 5, No. 3 (2008) 5, No. 1-2 (2008) 4, No. 4 (2007) 4, No. 3 (2007) 4, No. 2 (2007) 4, No. 1 (2007) 3, No. 4 (2006) 3, No. 3 (2006) 3, No. 2 (2006) 3, No. 1 (2006) 2, No. 4 (2005) 2, No. 3 (2005) 2, No. 2 (2005) 2, No. 1 (2005) 1, No. 3-4 (2004) 1, No. 2 (2004) 1, No. 1 (2004) all top 5 Authors 9 Nagurney, Anna 6 Kaut, Michal 6 Konno, Hiroshi 6 Maggioni, Francesca 6 Schultz, Rüdiger 5 Drezner, Zvi 5 Paterlini, Sandra 5 Thiele, Aurélie C. 5 Trafalis, Theodore B. 5 Wiesemann, Wolfram 4 Bertocchi, Marida 4 Consigli, Giorgio 4 Drezner, Tammy 4 Fleten, Stein-Erik 4 Gendreau, Michel 4 Kopa, Miloš 4 Krawczyk, Jacek Bogdan 4 Kuhn, Daniel 4 Pardalos, Panos M. 4 Pflug, Georg Ch. 4 Siddiqui, Afzal S. 4 Takeda, Akiko 4 Vitali, Sebastiano 4 Xu, Huifu 4 Yamamoto, Rei 4 Zaccour, Georges 4 Zanette, Antonino 3 Bertazzi, Luca 3 Escudero, Laureano Fernando 3 Fukushima, Masao 3 Gasnikov, Aleksandr V. 3 Giacometti, Rosella 3 Gotoh, Jun-ya 3 Haurie, Alain B. 3 Henrion, René 3 Krivulin, Nikolai K. 3 Kypreos, Socrates 3 Lisser, Abdel 3 Loulou, Richard 3 Maringer, Dietmar G. 3 Moriggia, Vittorio 3 Paraschiv, Florentina 3 Parpas, Panos 3 Pistikopoulos, Efstratios N. 3 Rustem, Berc 3 Sherali, Hanif D. 3 Torri, Gabriele 3 Van Ackooij, Wim 3 van der Vlerk, Maarten H. 3 Vielle, Marc 3 Wallace, Stein W. 3 Watson, Jean-Paul 3 Weissensteiner, Alex 2 Aitsahlia, Farid 2 Al-Yakoob, Salem Mohammed 2 Allevi, Elisabetta 2 Alonso-Ayuso, Antonio 2 Astorino, Annabella 2 Ávila, Daniel 2 Baldacci, Roberto 2 Bärmann, Andreas 2 Ben-Tal, Aharon 2 Bodnar, Taras 2 Bonaccolto, Giovanni 2 Boniello, C. 2 Brabazon, Anthony 2 Butenko, Sergiy I. 2 Çetinkaya, Elçin 2 Curry, Bruce 2 D’Amato, Valeria 2 Delage, Erick 2 den Hertog, Dick 2 Erlwein-Sayer, Christina 2 Escobar, Debora Daniela 2 Fábián, Csaba I. 2 Fastrich, Björn 2 Ferrentino, Rosa 2 Gaudenzi, Marcellino 2 Gaudioso, Manlio 2 Gelenbe, Sami Erol 2 Glanzer, Martin 2 Gnecco, Giorgio 2 Goswami, Manisha 2 Goudenège, Ludovic 2 Guha, Suchandan 2 Gutjahr, Walter J. 2 Heidt, Andreas 2 Heitsch, Holger 2 Hellemo, Lars 2 Herzel, Stefano 2 Hitaj, Asmerilda 2 Hochreiter, Ronald 2 Kalczynski, Pawel Jan 2 Kaniovski, Serguei Yu. 2 Kaniovski, Yuri M. 2 Kawadai, Naoya 2 Kazempour, Jalal 2 Klein Haneveld, Willem Karel 2 Kontoghiorghes, Erricos John 2 Labriet, Maryse ...and 767 more Authors all top 5 Fields 343 Operations research, mathematical programming (90-XX) 155 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 42 Statistics (62-XX) 31 Computer science (68-XX) 23 Numerical analysis (65-XX) 20 General and overarching topics; collections (00-XX) 18 Probability theory and stochastic processes (60-XX) 13 Biology and other natural sciences (92-XX) 13 Systems theory; control (93-XX) 9 Calculus of variations and optimal control; optimization (49-XX) 3 Combinatorics (05-XX) 2 Number theory (11-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 History and biography (01-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Partial differential equations (35-XX) 1 Integral equations (45-XX) 1 Differential geometry (53-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Geophysics (86-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 268 Publications have been cited 1,951 times in 1,586 Documents Cited by ▼ Year ▼ Quasi-variational inequalities, generalized Nash equilibria, and multi-leader-follower games. Zbl 1115.90059Pang, Jong-Shi; Fukushima, Masao 216 2005 Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems. Zbl 1225.91032Watson, Jean-Paul; Woodruff, David L. 70 2011 Likelihood robust optimization for data-driven problems. Zbl 1397.90225Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu 44 2016 Integrated chance constraints: reduced forms and an algorithm. Zbl 1136.90424Klein Haneveld, Willem K.; van der Vlerk, Maarten H. 43 2006 Scenario tree reduction for multistage stochastic programs. Zbl 1171.90485Heitsch, Holger; Römisch, Werner 41 2009 Restricted generalized Nash equilibria and controlled penalty algorithm. Zbl 1253.91010Fukushima, Masao 41 2011 Finding the optimal solution to the Huff based competitive location model. Zbl 1115.90357Drezner, Tammy; Drezner, Zvi 37 2004 Computational aspects of minimizing conditional value-at-risk. Zbl 1203.90117Künzi-Bay, Alexandra; Mayer, János 36 2006 Equity models in planar location. Zbl 1140.90031Drezner, Tammy; Drezner, Zvi 33 2007 Global optimization of mixed-integer bilevel programming problems. Zbl 1112.90061Gümüş, Zeynep H.; Floudas, Christodoulos A. 33 2005 Solving two-stage stochastic programming problems with level decomposition. Zbl 1145.90045Fábián, Csaba I.; Szőke, Zoltán 32 2007 Constructing optimal sparse portfolios using regularization methods. Zbl 1355.91077Fastrich, B.; Paterlini, S.; Winker, P. 27 2015 Numerical solutions to coupled-constraint (or generalised Nash) equilibrium problems. Zbl 1134.91303Krawczyk, Jacek 24 2007 Decomposition for adjustable robust linear optimization subject to uncertainty polytope. Zbl 1397.90297Ayoub, Josette; Poss, Michael 23 2016 Assessing interbank contagion using simulated networks. Zbl 1282.91399Hałaj, Grzegorz; Kok, Christoffer 23 2013 An adaptive Monte Carlo algorithm for computing mixed logit estimators. Zbl 1136.62086Bastin, Fabian; Cirillo, Cinzia; Toint, Philippe L. 22 2006 Supply chain network operations management of a blood banking system with cost and risk minimization. Zbl 1273.90028Nagurney, Anna; Masoumi, Amir H.; Yu, Min 22 2012 An exact solution framework for a broad class of vehicle routing problems. Zbl 1194.90011Baldacci, Roberto; Bartolini, Enrico; Mingozzi, Aristide; Roberti, Roberto 20 2010 Partitioning procedures for solving mixed-variables programming problems. Reprint. Zbl 1115.90361Benders, J. F. 20 2005 The internet, evolutionary variational inequalities, and the time-dependent Braess paradox. Zbl 1141.65051Nagurney, Anna; Parkes, David; Daniele, Patrizia 19 2007 Exploiting structure in parallel implementation of interior point methods for optimization. Zbl 1170.90518Gondzio, Jacek; Grothey, Andreas 19 2009 A joint model of probabilistic/robust constraints for gas transport management in stationary networks. Zbl 1397.90092González Grandón, T.; Heitsch, H.; Henrion, R. 19 2017 Leader-follower equilibria for electric power and \(\text{NO}_x\) allowances markets. Zbl 1273.91207Chen, Yihsu; Hobbs, Benjamin F.; Leyffer, Sven; Munson, Todd S. 18 2006 Reformulations and solution algorithms for the maximum leaf spanning tree problem. Zbl 1198.90380Lucena, Abilio; Maculan, Nelson; Simonetti, Luidi 18 2010 A multi-parametric programming approach for multilevel hierarchical and decentralised optimisation problems. Zbl 1189.90152Faísca, Nuno P.; Saraiva, Pedro M.; Rustem, Berç; Pistikopoulos, Efstratios N. 18 2009 Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 07024664Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino 18 2019 On the role of norm constraints in portfolio selection. Zbl 1225.91060Gotoh, Jun-ya; Takeda, Akiko 18 2011 Monotonic bounds in multistage mixed-integer stochastic programming. Zbl 1397.90287Maggioni, Francesca; Allevi, Elisabetta; Bertocchi, Marida 18 2016 Decision-dependent probabilities in stochastic programs with recourse. Zbl 1483.90095Hellemo, Lars; Barton, Paul I.; Tomasgard, Asgeir 18 2018 Probabilistic constraints via SQP solver: application to a renewable energy management problem. Zbl 1317.90216Bremer, I.; Henrion, R.; Möller, A. 17 2015 Developments in differential game theory and numerical methods: Economic and management applications. Zbl 1134.91334Jørgensen, Steffen; Zaccour, Georges 16 2007 Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios. Zbl 1296.91257Takeda, Akiko; Niranjan, Mahesan; Gotoh, Jun-Ya; Kawahara, Yoshinobu 16 2013 An oracle based method to compute a coupled equilibrium in a model of international climate policy. Zbl 1179.91200Drouet, Laurent; Haurie, Alain; Moresino, Francesco; Vial, Jean-Philippe; Vielle, Marc; Viguier, Laurent 15 2008 A fixed-center spherical separation algorithm with kernel transformations for classification problems. Zbl 1170.90530Astorino, A.; Gaudioso, M. 15 2009 Pricing early exercise contracts in incomplete markets. Zbl 1115.93359Oberman, A.; Zariphopoulou, T. 15 2004 Linear vs. quadratic portfolio selection models with hard real-world constraints. Zbl 1355.91076Cesarone, Francesco; Scozzari, Andrea; Tardella, Fabio 15 2015 Estimation of failure probability using semi-definite logit model. Zbl 1114.62353Konno, Hiroshi; Kawadai, Naoya; Wu, Dai 14 2004 Multi-horizon stochastic programming. Zbl 1298.90008Kaut, Michal; Midthun, Kjetil T.; Werner, Adrian S.; Tomasgard, Asgeir; Hellemo, Lars; Fodstad, Marte 14 2014 An algorithm for the job shop scheduling problem based on global equilibrium search techniques. Zbl 1136.90017Pardalos, Panos M.; Shylo, Oleg V. 13 2006 Formulation and analysis of horizontal mergers among oligopolistic firms with insights into the merger paradox: A supply chain network perspective. Zbl 1197.91125Nagurney, Anna 13 2010 Integer programming approaches in mean-risk models. Zbl 1128.91027Konno, Hiroshi; Yamamoto, Rei 13 2005 On distributionally robust multiperiod stochastic optimization. Zbl 1328.90089Analui, Bita; Pflug, Georg Ch. 13 2014 An improved gradient projection-based decomposition technique for support vector machines. Zbl 1163.90693Zanni, Luca 12 2006 Towards a practical parallelisation of the simplex method. Zbl 1185.90149Hall, J. A. J. 12 2010 Erratum: Quasi-variational inequalities, generalized Nash equilibria, and multi-leader-follower games. Zbl 1168.90618Pang, Jong-Shi; Fukushima, Masao 12 2009 Distributionally robust SDDP. Zbl 1483.90098Philpott, A. B.; de Matos, V. L.; Kapelevich, L. 12 2018 Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA. Zbl 1188.90185Le Thi Hoai An; Moeini, Mahdi; Pham Dinh Tao 11 2009 Single source single-commodity stochastic network design. Zbl 1273.90036Thapalia, Biju K.; Wallace, Stein W.; Kaut, Michal; Crainic, Teodor Gabriel 11 2012 A progressive hedging based branch-and-bound algorithm for mixed-integer stochastic programs. Zbl 1483.90091Atakan, Semih; Sen, Suvrajeet 11 2018 Risk aversion for an electricity retailer with second-order stochastic dominance constraints. Zbl 1171.90481Carrión, Miguel; Gotzes, Uwe; Schultz, Rüdiger 10 2009 Robust optimization of uncertain multistage inventory systems with inexact data in decision rules. Zbl 1397.90047de Ruiter, Frans J. C. T.; Ben-Tal, Aharon; Brekelmans, Ruud C. M.; den Hertog, Dick 10 2017 Simple measure of similarity for the market graph construction. Zbl 1282.91382Bautin, Grigory A.; Kalyagin, Valery A.; Koldanov, Alexander P.; Koldanov, Petr A.; Pardalos, Panos M. 10 2013 Optimal stopping problems by two or more decision makers: a survey. Zbl 1134.91337Ben Abdelaziz, Fouad; Krichen, Saoussen 9 2007 Financial networks with intermediation and transportation network equilibria: A supernetwork equivalence and reinterpretation of the equilibrium conditions with computations. Zbl 1142.91541Liu, Zugang; Nagurney, Anna 9 2007 Dynamic modeling of mean-reverting spreads for statistical arbitrage. Zbl 1214.91142Triantafyllopoulos, K.; Montana, G. 9 2011 Stochastic optimization models for a single-sink transportation problem. Zbl 1170.90325Maggioni, Francesca; Kaut, Michal; Bertazzi, Luca 9 2009 Algorithms for the quickest path problem and the reliable quickest path problem. Zbl 1273.90169Calvete, Herminia I.; Del-Pozo, Lourdes; Iranzo, José A. 9 2012 Direct solution to constrained tropical optimization problems with application to project scheduling. Zbl 1397.90312Krivulin, Nikolai 9 2017 A mixed-integer mathematical modeling approach to exam timetabling. Zbl 1178.90141Al-Yakoob, Salem M.; Sherali, Hanif D.; Al-Jazzaf, Mona 8 2010 Airline network revenue management by multistage stochastic programming. Zbl 1178.90259Möller, Andris; Römisch, Werner; Weber, Klaus 8 2008 New solution approaches for the maximum-reliability stochastic network interdiction problem. Zbl 1483.90041Towle, Eli; Luedtke, James 8 2018 Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes. Zbl 1282.91397Finger, Karl; Fricke, Daniel; Lux, Thomas 8 2013 On solving the multi-period single-sourcing problem under uncertainty. Zbl 1203.90116Alonso-Ayuso, A.; Escudero, L. F.; Pizarro, C.; Romeijn, H. E.; Romero Morales, D. 7 2006 Optimal impulse control on an unbounded domain with nonlinear cost functions. Zbl 1145.49021Baccarin, Stefano; Sanfelici, Simona 7 2006 Support vector machine as an efficient framework for stock market volatility forecasting. Zbl 1142.91718Gavrishchaka, Valeriy V.; Banerjee, Supriya 7 2006 Robust capacity assignment in telecommunications. Zbl 1136.90011Ouorou, Adam 7 2006 DC programming and DCA for globally solving the value-at-risk. Zbl 1177.90286Pham Dinh Tao; Nguyen Canh Nam; Le Thi Hoai An 7 2009 Efficient strategies for deriving the subset VAR models. Zbl 1089.62106Gatu, Cristian; Kontoghiorghes, Erricos John 7 2005 Flow equivalence and stochastic equivalence in G-networks. Zbl 1115.90319Fourneau, Jean-Michel; Gelenbe, Erol 7 2004 Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments. Zbl 07432763Bandarra, Michelle; Guigues, Vincent 7 2021 Monte Carlo methods for mean-risk optimization and portfolio selection. Zbl 1273.91459Xu, Huifu; Zhang, Dali 7 2012 A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches. Zbl 1397.90217Maggioni, Francesca; Potra, Florian A.; Bertocchi, Marida 7 2017 Algorithms for computing Nash equilibria in deterministic LQ games. Zbl 1134.91333Engwerda, Jacob 6 2007 Quadratic interior-point methods in statistical disclosure control. Zbl 1147.90377Castro, Jordi 6 2005 Combined discrete-event simulation and ant colony optimisation approach for selecting optimal screening policies for diabetic retinopathy. Zbl 1106.92029Brailsford, Sally C.; Gutjahr, Walter J.; Rauner, Marion S.; Zeppelzauer, Wolfgang 6 2007 ETSAP-TIAM: The TIMES integrated assessment model. I: Model structure. Zbl 1175.90179Loulou, Richard; Labriet, Maryse 6 2008 A stochastic programming approach for multi-period portfolio optimization. Zbl 1171.90482Geyer, Alois; Hanke, Michael; Weissensteiner, Alex 6 2009 The decision rule approach to optimization under uncertainty: methodology and applications. Zbl 07137444Georghiou, Angelos; Kuhn, Daniel; Wiesemann, Wolfram 6 2019 An exact and a heuristic approach for the transportation-\(p\)-facility location problem. Zbl 07304216Das, Soumen Kumar; Roy, Sankar Kumar; Weber, Gerhard Wilhelm 6 2020 Un-diversifying during crises: is it a good idea? Zbl 07097399Giuzio, Margherita; Paterlini, Sandra 6 2019 Robust international portfolio management. Zbl 1273.91421Fonseca, Raquel J.; Wiesemann, Wolfram; Rustem, Berç 6 2012 Robust portfolio optimization with a hybrid heuristic algorithm. Zbl 1273.91420Fastrich, Björn; Winker, Peter 6 2012 An approximate dynamic programming framework for modeling global climate policy under decision-dependent uncertainty. Zbl 1273.90194Webster, Mort; Santen, Nidhi; Parpas, Panos 6 2012 Edge detection by spherical separation. Zbl 1331.68262Astorino, A.; Gaudioso, M.; Khalaf, W. 6 2014 Multi-period forecasting and scenario generation with limited data. Zbl 1319.90047Rios, Ignacio; Wets, Roger J-B; Woodruff, David L. 6 2015 Computational study of the US stock market evolution: a rank correlation-based network model. Zbl 1282.91388Shirokikh, Oleg; Pastukhov, Grigory; Boginski, Vladimir; Butenko, Sergiy 6 2013 A maximal predictability portfolio using absolute deviation reformulation. Zbl 1187.91202Konno, Hiroshi; Morita, Yuuhei; Yamamoto, Rei 5 2010 A new multiobjective dynamic routing method for multiservice networks: modelling and performance. Zbl 1158.90328Martins, Lúcia; Craveirinha, José; Clímaco, João 5 2006 An optimization model for stochastic project networks with cash flows. Zbl 1136.90009Benati, Stefano 5 2006 Automatic formulation of stochastic programs via an algebraic modeling language. Zbl 1140.90035Thénié, J.; Van Delft, Ch.; Vial, J.-Ph. 5 2007 The weight-decay technique in learning from data: an optimization point of view. Zbl 1280.62074Gnecco, Giorgio; Sanguineti, Marcello 5 2009 On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty. Zbl 1170.90452Escudero, Laureano F.; Garín, Araceli; Merino, María; Pérez, Gloria 5 2009 Sparse precision matrices for minimum variance portfolios. Zbl 07097398Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra 5 2019 Stochastic nuclear outages semidefinite relaxations. Zbl 1273.90133Gorge, Agnès; Lisser, Abdel; Zorgati, Riadh 5 2012 An improved Lagrangian relaxation and dual ascent approach to facility location problems. Zbl 1397.90239Jörnsten, Kurt; Klose, Andreas 5 2016 On the average performance of the adjustable RO and its use as an offline tool for multi-period production planning under uncertainty. Zbl 1397.90314Melamed, Michal; Ben-Tal, Aharon; Golany, Boaz 5 2016 Log-robust portfolio management with parameter ambiguity. Zbl 1397.90214Kawas, Ban; Thiele, Aurelie 5 2017 Using tropical optimization to solve constrained minimax single-facility location problems with rectilinear distance. Zbl 1397.90240Krivulin, Nikolai 5 2017 Asset allocation strategies based on penalized quantile regression. Zbl 1402.62247Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, Sandra 5 2018 An adaptive model with joint chance constraints for a hybrid wind-conventional generator system. Zbl 1483.90060Singh, Bismark; Morton, David P.; Santoso, Surya 5 2018 Accelerated methods for weakly-quasi-convex optimization problems. Zbl 07730675Guminov, Sergey; Gasnikov, Alexander; Kuruzov, Ilya 1 2023 American options and stochastic interest rates. Zbl 07634980Battauz, Anna; Rotondi, Francesco 3 2022 A comprehensive study of domain-specific emoji meanings in sentiment classification. Zbl 07557207Mahmoudi, Nader; Olech, Łukasz P.; Docherty, Paul 1 2022 Multi-criteria supplier selection problem with fuzzy demand: a newsvendor model. Zbl 07606333Jadidi, Omid; Firouzi, Fatemeh; Loucks, John S.; Park, Yong Shin 1 2022 A tail-revisited Markowitz mean-variance approach and a portfolio network centrality. Zbl 07606335Mariani, Francesca; Polinesi, Gloria; Recchioni, Maria Cristina 1 2022 Accuracy and fairness trade-offs in machine learning: a stochastic multi-objective approach. Zbl 07606338Liu, Suyun; Vicente, Luis Nunes 1 2022 Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments. Zbl 07432763Bandarra, Michelle; Guigues, Vincent 7 2021 Quantile-based optimal portfolio selection. Zbl 07432771Bodnar, Taras; Lindholm, Mathias; Thorsén, Erik; Tyrcha, Joanna 2 2021 On the application of Wishart process to the pricing of equity derivatives: the multi-asset case. Zbl 07432764La Bua, Gaetano; Marazzina, Daniele 1 2021 Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation. Zbl 07432768Ballestra, Luca Vincenzo 1 2021 Coordination of power and natural gas markets via financial instruments. Zbl 07722436Schwele, Anna; Ordoudis, Christos; Pinson, Pierre; Kazempour, Jalal 1 2021 An exact and a heuristic approach for the transportation-\(p\)-facility location problem. Zbl 07304216Das, Soumen Kumar; Roy, Sankar Kumar; Weber, Gerhard Wilhelm 6 2020 Evaluation of scenario reduction algorithms with nested distance. Zbl 07304210Horejšová, Markéta; Vitali, Sebastiano; Kopa, Miloš; Moriggia, Vittorio 3 2020 Distributionally robust optimization with multiple time scales: valuation of a thermal power plant. Zbl 07304214van Ackooij, Wim; Escobar, Debora Daniela; Glanzer, Martin; Pflug, Georg Ch. 3 2020 Using tropical optimization techniques in bi-criteria decision problems. Zbl 07205159Krivulin, Nikolai 2 2020 Optimization techniques for tree-structured nonlinear problems. Zbl 07304217Hübner, Jens; Schmidt, Martin; Steinbach, Marc C. 2 2020 Modelling an energy market with Bayesian networks for non-normal data. Zbl 07205157Vitale, Vincenzina; Musella, Flaminia; Vicard, Paola; Guizzi, Valentina 1 2020 The skew normal multivariate risk measurement framework. Zbl 07205160Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen 1 2020 Risk attribution and interconnectedness in the EU via CDS data. Zbl 07360548Giacometti, R.; Torri, G.; Farina, G.; De Giuli, M. E. 1 2020 Computing credit valuation adjustment solving coupled PIDEs in the Bates model. Zbl 07304207Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino 1 2020 Portfolio stress testing applied to commodity futures. Zbl 07304209Paraschiv, Florentina; Reese, Stine Marie; Skjelstad, Margrethe Ringkjøb 1 2020 Correction to: “Distributionally robust optimization with multiple time scales: valuation of a thermal power plant”. Zbl 07304215van Ackooij, Wim; Escobar, Debora Daniela; Glanzer, Martin; Pflug, Georg Ch. 1 2020 Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 07024664Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino 18 2019 The decision rule approach to optimization under uncertainty: methodology and applications. Zbl 07137444Georghiou, Angelos; Kuhn, Daniel; Wiesemann, Wolfram 6 2019 Un-diversifying during crises: is it a good idea? Zbl 07097399Giuzio, Margherita; Paterlini, Sandra 6 2019 Sparse precision matrices for minimum variance portfolios. Zbl 07097398Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra 5 2019 The value of the right distribution in stochastic programming with application to a Newsvendor problem. Zbl 07137452Maggioni, Francesca; Cagnolari, Matteo; Bertazzi, Luca 3 2019 On the construction of hourly price forward curves for electricity prices. Zbl 07024669Kiesel, Rüdiger; Paraschiv, Florentina; Sætherø, Audun 3 2019 Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria. Zbl 07137448Hochrainer-Stigler, Stefan; Balkovič, Juraj; Silm, Kadri; Timonina-Farkas, Anna 2 2019 Optimal strategies with option compensation under mean reverting returns or volatilities. Zbl 07024658Herzel, Stefano; Nicolosi, Marco 2 2019 Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization. Zbl 07024659Hitaj, Asmerilda; Mercuri, Lorenzo; Rroji, Edit 2 2019 Tempered stable process, first passage time, and path-dependent option pricing. Zbl 07024663Kim, Young Shin 2 2019 European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions. Zbl 07024665Nardon, Martina; Pianca, Paolo 2 2019 Calibration of one-factor and two-factor hull-white models using swaptions. Zbl 07024666Russo, Vincenzo; Torri, Gabriele 2 2019 Notoriously hard (mixed-)binary QPs: empirical evidence on new completely positive approaches. Zbl 07137446Bomze, Immanuel M.; Cheng, Jianqiang; Dickinson, Peter J. C.; Lisser, Abdel; Liu, Jia 1 2019 Exploring the dynamics of business survey data using Markov models. Zbl 07137447Hölzl, W.; Kaniovski, S.; Kaniovski, Y. 1 2019 Volatility versus downside risk: performance protection in dynamic portfolio strategies. Zbl 07097400Barro, Diana; Canestrelli, Elio; Consigli, Giorgio 1 2019 The wait-and-judge scenario approach applied to antenna array design. Zbl 07097401Carè, Algo; Garatti, Simone; Campi, Marco C. 1 2019 Multistage portfolio optimization with multivariate dominance constraints. Zbl 07024657Petrová, Barbora 1 2019 Timing portfolio strategies with exponential Lévy processes. 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Zbl 1483.90041Towle, Eli; Luedtke, James 8 2018 Asset allocation strategies based on penalized quantile regression. Zbl 1402.62247Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, Sandra 5 2018 An adaptive model with joint chance constraints for a hybrid wind-conventional generator system. Zbl 1483.90060Singh, Bismark; Morton, David P.; Santoso, Surya 5 2018 On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management. Zbl 1483.90094Escudero, Laureano F.; Monge, Juan F. 4 2018 Determination and estimation of risk aversion coefficients. Zbl 1417.91441Bodnar, Taras; Okhrin, Yarema; Vitlinskyy, Valdemar; Zabolotskyy, Taras 3 2018 Stochastic dynamic programming approach to managing power system uncertainty with distributed storage. Zbl 1397.90227Zéphyr, Luckny; Lindsay Anderson, C. 3 2018 Distributionally robust simple integer recourse. 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Zbl 1397.90244Munoz, Francisco D.; Watson, Jean-Paul 4 2015 ...and 168 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,801 Authors 25 Drezner, Zvi 23 Escudero, Laureano Fernando 21 Nagurney, Anna 20 Kanzow, Christian 19 Van Ackooij, Wim 16 Maggioni, Francesca 14 Drezner, Tammy 13 Sagratella, Simone 12 Aussel, Didier 11 Astorino, Annabella 11 Fukushima, Masao 11 Pflug, Georg Ch. 11 Wallace, Stein W. 10 Dreves, Axel 10 Pang, Jong-Shi 9 Crainic, Teodor Gabriel 9 Fábián, Csaba I. 9 Facchinei, Francisco 9 Heitsch, Holger 9 Kalyagin, Valery A. 9 Krivulin, Nikolai K. 9 Pardalos, Panos M. 9 Watson, Jean-Paul 9 Xu, Huifu 8 Allevi, Elisabetta 8 Araceli Garín, María 8 Branda, Martin 8 Castro, Jordi 8 Gaudioso, Manlio 8 Henrion, René 8 Koldanov, Alexander P. 8 Le Thi, Hoai An 8 Paterlini, Sandra 8 Pelegrín, Blas 8 Pérez-Aros, Pedro 8 Poss, Michael 8 Sagastizábal, Claudia A. 8 Steck, Daniel Daniel 8 Weintraub, Andrés P. 7 de Oliveira, Welington Luis 7 den Hertog, Dick 7 Fuduli, Antonio 7 Gendreau, Michel 7 Gotoh, Jun-ya 7 Homem-de-Mello, Tito 7 Koldanov, Petr A. 7 Konno, Hiroshi 7 Krejić, Nataša 7 Kuhn, Daniel 7 Pichler, Alois 7 Rautenberg, Carlos N. 7 Rustem, Berc 7 Scrimali, Laura Rosa Maria 6 Ahmed, Shabbir 6 Alonso-Ayuso, Antonio 6 Chen, Zhiping 6 Fleten, Stein-Erik 6 Grossmann, Ignacio E. 6 Hintermüller, Michael 6 Kaut, Michal 6 Krawczyk, Jacek Bogdan 6 Li, Dong 6 Lisser, Abdel 6 Mehrotra, Sanjay 6 Moeini, Mahdi 6 Monge, Juan Francisco 6 Morton, David P. 6 Rei, Walter 6 Schmidt, Martin 6 Schultz, Rüdiger 6 Sen, Suvrajeet 6 Shanbhag, Uday V. 6 Sun, Jie 6 Takeda, Akiko 6 Zaccour, Georges 5 Alphonse, Amal 5 Bertocchi, Marida 5 Carrizosa, Emilio 5 Cesarone, Francesco 5 Cojocaru, Monica-Gabriela 5 Daniele, Patrizia 5 Desaulniers, Guy 5 Engwerda, Jacob Christiaan 5 Grothey, Andreas 5 Gugat, Martin 5 Haurie, Alain B. 5 Krklec Jerinkić, Nataša 5 Laporte, Gilbert 5 Leung, Tim 5 Lubin, Miles 5 Luedtke, James R. 5 Mitra, Gautam 5 Morgan, Jacqueline 5 Passacantando, Mauro 5 Pérez, Gloria 5 Pham Dinh Tao 5 Pistikopoulos, Efstratios N. 5 Plastria, Frank 5 Roman, Diana 5 Royset, Johannes O. ...and 2,701 more Authors all top 5 Cited in 218 Journals 196 European Journal of Operational Research 100 Computational Management Science 88 Computers & Operations Research 82 Annals of Operations Research 72 Mathematical Programming. 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