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ORCIDAnnals of Operations Research, Volume 266
Volume 266, Numbers 1-2, July 2018
- Constantin Zopounidis, Michael Doumpos, Kyriaki Kosmidou
:
Preface: analytical models for financial modeling and risk management. 1-4 - Andrea Consiglio, Somayyeh Lotfi, Stavros A. Zenios:
Portfolio diversification in the sovereign credit swap markets. 5-33 - Jörgen Blomvall, Jonas Ekblom:
Corporate hedging: an answer to the "how" question. 35-69 - Mariya Gubareva, Maria Rosa Borges:
Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk. 71-100 - Dirk Sierag, Bernard Hanzon:
Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex. 101-127 - Hideharu Funahashi, Tomohide Higuchi:
An analytical approximation for single barrier options under stochastic volatility models. 129-157 - Nikolaos Karouzakis, John Hatgioannides, Kostas Andriosopoulos:
Convexity adjustment for constant maturity swaps in a multi-curve framework. 159-181 - Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi:
Recent advancements in robust optimization for investment management. 183-198 - Michalis Kapsos, Nicos Christofides, Berç Rustem:
Robust risk budgeting. 199-221 - A. Burak Paç, Mustafa Ç. Pinar:
On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets. 223-253 - Philipp J. Kremer, Andreea Talmaciu, Sandra Paterlini:
Risk minimization in multi-factor portfolios: What is the best strategy? 255-291 - Jang Ho Kim, Woo Chang Kim, Do-Gyun Kwon, Frank J. Fabozzi:
Robust equity portfolio performance. 293-312 - Valeriy A. Kalyagin, Alexander P. Koldanov, Petr A. Koldanov, Panos M. Pardalos:
Optimal decision for the market graph identification problem in a sign similarity network. 313-327 - Büsra Zeynep Temoçin, Ralf Korn, A. Sevtap Selcuk-Kestel:
Constant proportion portfolio insurance in defined contribution pension plan management. 329-348 - Margherita Giuzio, Kay Eichhorn-Schott, Sandra Paterlini, Vincent Weber:
Tracking hedge funds returns using sparse clones. 349-371 - Marco Nicolosi, Flavio Angelini, Stefano Herzel:
Portfolio management with benchmark related incentives under mean reverting processes. 373-394 - George Chalamandaris, Nikos E. Vlachogiannakis:
Are financial ratios relevant for trading credit risk? Evidence from the CDS market. 395-440 - Dimitrios Koutmos:
Interdependencies between CDS spreads in the European Union: Is Greece the black sheep or black swan? 441-498 - Sebastián Cano-Berlanga, José-Manuel Giménez-Gómez:
On Chinese stock markets: How have they evolved over time? 499-510 - Cuiqing Jiang, Zhao Wang, Ruiya Wang, Yong Ding:
Loan default prediction by combining soft information extracted from descriptive text in online peer-to-peer lending. 511-529 - Panagiotis Tziogkidis, Kent Matthews, Dionisis Philippas:
The effects of sector reforms on the productivity of Greek banks: a step-by-step analysis of the pre-Euro era. 531-549 - Jamal Ouenniche, Skarleth Carrales:
Assessing efficiency profiles of UK commercial banks: a DEA analysis with regression-based feedback. 551-587 - Emilios Galariotis, Christophe Germain, Constantin Zopounidis:
A combined methodology for the concurrent evaluation of the business, financial and sports performance of football clubs: the case of France. 589-612
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