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ORCIDAnnals of Operations Research, Volume 262
Volume 262, Number 1, March 2018
- Stan Uryasev
, Jun-ya Gotoh:
Preface. 1-2 - R. Tyrrell Rockafellar, Johannes O. Royset:
Superquantile/CVaR risk measures: second-order theory. 3-28 - Marcus Ang, Jie Sun, Qiang Yao:
On the dual representation of coherent risk measures. 29-46 - Roger W. Barnard, Kent Pearce, A. Alexandre Trindade:
When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management. 47-65 - Konstantin Pavlikov, Stan Uryasev:
CVaR distance between univariate probability distributions and approximation problems. 67-88 - Maciej Rysz, Foad Mahdavi Pajouh, Pavlo A. Krokhmal, Eduardo L. Pasiliao:
Identifying risk-averse low-diameter clusters in graphs with stochastic vertex weights. 89-108 - Oleksandra Yezerska, Sergiy Butenko, Vladimir Boginski:
Detecting robust cliques in graphs subject to uncertain edge failures. 109-132 - Amy Givler Chapman, John E. Mitchell:
A fair division approach to humanitarian logistics inspired by conditional value-at-risk. 133-151 - Yasemin Merzifonluoglu, Eray Uzgoren:
Photovoltaic power plant design considering multiple uncertainties and risk. 153-184 - Reza Faturechi, Shabtai Isaac, Elise Miller-Hooks, Lei Feng:
Risk-based models for emergency shelter and exit design in buildings. 185-212 - Sandun Perera, Winston S. Buckley, Hongwei Long:
Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps. 213-238
Volume 262, Number 2, March 2018
- Hatem Ben Ameur, Ephraim Clark, André de Palma, Jean-Luc Prigent:
Preface: Risk management decisions and wealth management in Financial Economics. 239-240 - Ilyes Abid, Farid Mkaouar, Olfa Kaabia:
Dynamic analysis of the forecasting bankruptcy under presence of unobserved heterogeneity. 241-256 - Charles-Olivier Amédée-Manesme, Fabrice Barthélémy:
Ex-ante real estate Value at Risk calculation method. 257-285 - Hachmi Ben Ameur, Fredj Jawadi, Abdoulkarim Idi Cheffou, Waël Louhichi:
Measurement errors in stock markets. 287-306 - Christos Avdoulas, Stelios D. Bekiros, Sabri Boubaker:
Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets. 307-333 - Hamza Bahaji:
Are employee stock option exercise decisions better explained through the prospect theory? 335-359 - Mondher Bellalah:
On information costs, short sales and the pricing of extendible options, steps and Parisian options. 361-387 - Mondher Bellalah:
Pricing derivatives in the presence of shadow costs of incomplete information and short sales. 389-411 - Philippe Bertrand, Vincent Lapointe:
Risk-based strategies: the social responsibility of investment universes does matter. 413-429 - Ephraim Clark, Selima Baccar:
Modelling credit spreads with time volatility, skewness, and kurtosis. 431-461 - Tarik Driouchi, Lenos Trigeorgis, Raymond H. Y. So:
Option implied ambiguity and its information content: Evidence from the subprime crisis. 463-491 - David Feldman, Xin Xu:
Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles). 493-518 - Donatien Hainaut, Yang Shen, Yan Zeng:
How do capital structure and economic regime affect fair prices of bank's equity and liabilities? 519-545 - Ran Ji, Miguel A. Lejeune:
Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints. 547-578 - Edward M. H. Lin, Edward W. Sun, Min-Teh Yu:
Systemic risk, financial markets, and performance of financial institutions. 579-603 - Naceur Naguez:
Dynamic portfolio insurance strategies: risk management under Johnson distributions. 605-629 - Abdallah Ben Saida, Jean-Luc Prigent:
On the robustness of portfolio allocation under copula misspecification. 631-652 - Hanene Ben Salah, Mohamed Chaouch, Ali Gannoun, Christian de Peretti, Abdelwahed Trabelsi:
Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier. 653-681
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