1. Preface

   • Hercules Vladimirou

   OriginalPaper 14 November 2006 Pages: 1 - 4

2. Coherent multiperiod risk adjusted values and Bellman’s principle

   • Philippe Artzner
   • Freddy Delbaen
   • Hyejin Ku

   OriginalPaper 14 November 2006 Pages: 5 - 22

3. A semi-analytical method for VaR and credit exposure analysis

   • Ben De Prisco
   • Ian Iscoe
   • Ahmed Nagi

   OriginalPaper 01 December 2006 Pages: 23 - 47

4. Credit risk optimization using factor models

   • David Saunders
   • Costas Xiouros
   • Stavros A. Zenios

   OriginalPaper 07 December 2006 Pages: 49 - 77

5. Strategic foreign reserves risk management: Analytical framework

   • Stijn Claessens
   • Jerome Kreuser

   OriginalPaper 21 November 2006 Pages: 79 - 113

6. A stochastic programming model for asset liability management of a Finnish pension company

   • Petri Hilli
   • Matti Koivu
   • Antero Ranne

   OriginalPaper 10 November 2006 Pages: 115 - 139

7. Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

   • Paolo Battocchio
   • Francesco Menoncin
   • Olivier Scaillet

   OriginalPaper 07 December 2006 Pages: 141 - 165

8. Scenario optimization asset and liability modelling for individual investors

   • Andrea Consiglio
   • Flavio Cocco
   • Stavros A. Zenios

   OriginalPaper 10 November 2006 Pages: 167 - 191

9. A sample-path approach to optimal position liquidation

   • Pavlo Krokhmal
   • Stanislav Uryasev

   OriginalPaper 14 November 2006 Pages: 193 - 225

10. Conditional value at risk and related linear programming models for portfolio optimization

    • Renata Mansini
    • Włodzimierz Ogryczak
    • M. Grazia Speranza

    OriginalPaper 14 November 2006 Pages: 227 - 256

11. Financial scenario generation for stochastic multi-stage decision processes as facility location problems

    • Ronald Hochreiter
    • Georg Ch. Pflug

    OriginalPaper 10 November 2006 Pages: 257 - 272

12. Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis

    • Rafael Lazimy

    OriginalPaper 09 December 2006 Pages: 273 - 295

13. Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection

    • Ralph E. Steuer
    • Yue Qi
    • Markus Hirschberger

    OriginalPaper 07 December 2006 Pages: 297 - 317

14. Parallel interior-point solver for structured quadratic programs: Application to financial planning problems

    • Jacek Gondzio
    • Andreas Grothey

    OriginalPaper 07 December 2006 Pages: 319 - 339

15. Portfolio optimization with linear and fixed transaction costs

    • Miguel Sousa Lobo
    • Maryam Fazel
    • Stephen Boyd

    OriginalPaper 02 December 2006 Pages: 341 - 365

16. Multi-period stochastic portfolio optimization: Block-separable decomposition

    • N. C. P. Edirisinghe
    • E. I. Patterson

    OriginalPaper 10 November 2006 Pages: 367 - 394

17. A two-stage stochastic integer programming approach as a mixture of Branch-and-Fix Coordination and Benders Decomposition schemes

    • L. F. Escudero
    • A. Garín
    • G. Pérez

    OriginalPaper 10 November 2006 Pages: 395 - 420