Annals of Operations Research

Preface
pp. 1-4(4)
Author: Vladimirou, Hercules

Coherent multiperiod risk adjusted values and Bellman's principle
pp. 5-22(18)
Authors: Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David; Ku, Hyejin

A semi-analytical method for VaR and credit exposure analysis
pp. 23-47(25)
Authors: De Prisco, Ben; Iscoe, Ian; Kreinin, Alexander; Nagi, Ahmed

Credit risk optimization using factor models
pp. 49-77(29)
Authors: Saunders, David; Xiouros, Costas; Zenios, Stavros

Strategic foreign reserves risk management: Analytical framework
pp. 79-113(35)
Authors: Claessens, Stijn; Kreuser, Jerome

A stochastic programming model for asset liability management of a Finnish pension company
pp. 115-139(25)
Authors: Hilli, Petri; Koivu, Matti; Pennanen, Teemu; Ranne, Antero

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
pp. 141-165(25)
Authors: Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier

Scenario optimization asset and liability modelling for individual investors
pp. 167-191(25)
Authors: Consiglio, Andrea; Cocco, Flavio; Zenios, Stavros

A sample-path approach to optimal position liquidation
pp. 193-225(33)
Authors: Krokhmal, Pavlo; Uryasev, Stanislav

Conditional value at risk and related linear programming models for portfolio optimization
pp. 227-256(30)
Authors: Mansini, Renata; Ogryczak, Włodzimierz; Speranza, M.

Financial scenario generation for stochastic multi-stage decision processes as facility location problems
pp. 257-272(16)
Authors: Hochreiter, Ronald; Pflug, Georg

Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis
pp. 273-295(23)
Author: Lazimy, Rafael

Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
pp. 297-317(21)
Authors: Steuer, Ralph; Qi, Yue; Hirschberger, Markus

Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
pp. 319-339(21)
Authors: Gondzio, Jacek; Grothey, Andreas

Portfolio optimization with linear and fixed transaction costs
pp. 341-365(25)
Authors: Lobo, Miguel; Fazel, Maryam; Boyd, Stephen

Multi-period stochastic portfolio optimization: Block-separable decomposition
pp. 367-394(28)
Authors: Edirisinghe, N.; Patterson, E.

A two-stage stochastic integer programming approach as a mixture of Branch-and-Fix Coordination and Benders Decomposition schemes
pp. 395-420(26)
Authors: Escudero, L.; Garín, A.; Merino, M.; Pérez, G.