Volume 45; Issue 1

Annals of Operations Research

Volume 45; Issue 1
1

Preface

Hiroshi Konno, David Luenberger, John Mulvey
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 60 KB
english, 1993
3

Computing efficient frontiers using estimated parameters

Mark Broadie
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 2.19 MB
english, 1993
4

Multi-stage stochastic linear programs for portfolio optimization

George B. Dantzig, Gerd Infanger
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 1.41 MB
english, 1993
5

A note on portfolio optimization with path-dependent utility

Tadashi Dohi, Shunji Osaki
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 790 KB
english, 1993
7

Valuing flexibility: an impulse control framework

James E. Hodder, Alexander J. Triantis
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 1.69 MB
english, 1993
8

Approximate valuation of average options

Hideki Iwaki, Masaaki Kijima, Toshihiro Yoshida
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 676 KB
english, 1993
10

Asymmetric risk measures and tracking models for portfolio optimization under uncertainty

Alan J. King
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 852 KB
english, 1993
11

Another explanation for the bias observed in the filter rule test

Kazuo Kishimoto
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 460 KB
english, 1993
12

Optimal portfolios with asymptotic criteria

Hiroshi Konno, Stanley R. Pliska, Ken-Ichi Suzuki
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 934 KB
english, 1993
13

A mean-absolute deviation-skewness portfolio optimization model

Hiroshi Konno, Hiroshi Shirakawa, Hiroaki Yamazaki
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 739 KB
english, 1993
14

A two-stage approach to multi-period allocation of savings among investment plans

Patrick S. Lee, Gautam Vora
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 1.65 MB
english, 1993
15

Optimal bank portfolio choice under fixed-rate deposit insurance

Anlong Li
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 1.03 MB
english, 1993
16

Univariate and multivariate measures of risk aversion and risk premiums

Yuming Li, William T. Ziemba
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 1.37 MB
english, 1993
20

On the number of securities which constitute an efficient portfolio

Munenori Nakasato, Koichi Furukawa
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 903 KB
english, 1993
22

An interior point algorithm for large scale portfolio optimization

Hitoshi Takehara
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 658 KB
english, 1993
23

A new approach to firm evaluation

Erik M. Vermeulen, Jaap Spronk, Nico van der Wijst
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 1.07 MB
english, 1993
25

Mean-absolute deviation portfolio optimization for mortgage-backed securities

Stavros A. Zenios, Pan Kang
Journal:
Annals of Operations Research
Year:
1993
Language:
english
File:
PDF, 1.07 MB
english, 1993