Volume 152, Number 1, July 2007
Financial Optimization
- 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, María Araceli Garín, María Merino, Gloria Pérez:
A two-stage stochastic integer programming approach as a mixture of Branch-and-Fix Coordination and Benders Decomposition schemes.
395-420
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