Annals of Operations Research, Volume 152

Volume 152, Number 1, July 2007

• Hercules Vladimirou:
  Preface. 1-4
  
• Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath, Hyejin Ku:
  Coherent multiperiod risk adjusted values and Bellman's principle. 5-22
  
• Ben De Prisco, Ian Iscoe, Alexander Y. Kreinin, Ahmed Nagi:
  A semi-analytical method for VaR and credit exposure analysis. 23-47
  
• David Saunders, Costas Xiouros, Stavros A. Zenios:
  Credit risk optimization using factor models. 49-77
  
• Stijn Claessens, Jerome Kreuser:
  Strategic foreign reserves risk management: Analytical framework. 79-113
  
• Petri Hilli, Matti Koivu, Teemu Pennanen, Antero Ranne:
  A stochastic programming model for asset liability management of a Finnish pension company. 115-139
  
• Paolo Battocchio, Francesco Menoncin, Olivier Scaillet:
  Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases. 141-165
  
• Andrea Consiglio, Flavio Cocco, Stavros A. Zenios:
  Scenario optimization asset and liability modelling for individual investors. 167-191
  
• Pavlo A. Krokhmal, Stan Uryasev:
  A sample-path approach to optimal position liquidation. 193-225
  
• Renata Mansini, Wlodzimierz Ogryczak, Maria Grazia Speranza:
  Conditional value at risk and related linear programming models for portfolio optimization. 227-256
  
• Ronald Hochreiter, Georg Ch. Pflug:
  Financial scenario generation for stochastic multi-stage decision processes as facility location problems. 257-272
  
• Rafael Lazimy:
  Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis. 273-295
  
• Ralph E. Steuer, Yue Qi, Markus Hirschberger:
  Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection. 297-317
  
• Jacek Gondzio, Andreas Grothey:
  Parallel interior-point solver for structured quadratic programs: Application to financial planning problems. 319-339
  
• Miguel Sousa Lobo, Maryam Fazel, Stephen Boyd:
  Portfolio optimization with linear and fixed transaction costs. 341-365
  
• N. C. P. Edirisinghe, E. I. Patterson:
  Multi-period stochastic portfolio optimization: Block-separable decomposition. 367-394
  
• Laureano F. Escudero, Araceli Garín, M. Merino, Gloria Pérez:
  A two-stage stochastic integer programming approach as a mixture of Branch-and-Fix Coordination and Benders Decomposition schemes. 395-420