1. Preface

   • Hiroshi Konno
   • David Luenberger
   • John Mulvey

   EditorialNotes Pages: i - ii

2. An envelopment-analysis approach to measuring the managerial efficiency of banks

   • Richard S. Barr
   • Lawrence M. Seiford
   • Thomas F. Siems

   OriginalPaper Pages: 1 - 19

3. Computing efficient frontiers using estimated parameters

   • Mark Broadie

   OriginalPaper Pages: 21 - 58

4. Multi-stage stochastic linear programs for portfolio optimization

   • George B. Dantzig
   • Gerd Infanger

   OriginalPaper Pages: 59 - 76

5. A note on portfolio optimization with path-dependent utility

   • Tadashi Dohi
   • Shunji Osaki

   OriginalPaper Pages: 77 - 90

6. The development of efficient portfolios in Japan with particular emphasis on sales and earnings forecasting

   • John B. Guerard Jr.
   • Makoto Takano
   • Yuji Yamane

   OriginalPaper Pages: 91 - 108

7. Valuing flexibility: an impulse control framework

   • James E. Hodder
   • Alexander J. Triantis

   OriginalPaper Pages: 109 - 130

8. Approximate valuation of average options

   • Hideki Iwaki
   • Masaaki Kijima
   • Toshihiro Yoshida

   OriginalPaper Pages: 131 - 145

9. Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities

   • Masaaki Kijima
   • Masamitsu Ohnishi

   OriginalPaper Pages: 147 - 163

10. Asymmetric risk measures and tracking models for portfolio optimization under uncertainty

    • Alan J. King

    OriginalPaper Pages: 165 - 177

11. Another explanation for the bias observed in the filter rule test

    • Kazuo Kishimoto

    OriginalPaper Pages: 179 - 186

12. Optimal portfolios with asymptotic criteria

    • Hiroshi Konno
    • Stanley R. Pliska
    • Ken-Ichi Suzuki

    OriginalPaper Pages: 187 - 204

13. A mean-absolute deviation-skewness portfolio optimization model

    • Hiroshi Konno
    • Hiroshi Shirakawa
    • Hiroaki Yamazaki

    OriginalPaper Pages: 205 - 220

14. A two-stage approach to multi-period allocation of savings among investment plans

    • Patrick S. Lee
    • Gautam Vora

    OriginalPaper Pages: 221 - 242

15. Optimal bank portfolio choice under fixed-rate deposit insurance

    • Anlong Li

    OriginalPaper Pages: 243 - 264

16. Univariate and multivariate measures of risk aversion and risk premiums

    • Yuming Li
    • William T. Ziemba

    OriginalPaper Pages: 265 - 296

17. Thin trading and estimation of systematic risk: An application of an error-correction model

    • Martti Luoma
    • Teppo Martikainen
    • Jukka Perttunen

    OriginalPaper Pages: 297 - 305

18. Computation of mean-semivariance efficient sets by the Critical Line Algorithm

    • Harry Markowitz
    • Peter Todd
    • Yuji Yamane

    OriginalPaper Pages: 307 - 317

19. Dynamic linkages between stock prices, accrual earnings and cash flows: a cointegration analysis

    • Teppo Martikainen
    • Vesa Puttonen

    OriginalPaper Pages: 319 - 332

20. On the number of securities which constitute an efficient portfolio

    • Munenori Nakasato
    • Koichi Furukawa

    OriginalPaper Pages: 333 - 347

21. Optimal consumption and arbitrage in incomplete, finite state security markets

    • Hiroshi Shirakawa
    • Hiromichi Kassai

    OriginalPaper Pages: 349 - 372

22. An interior point algorithm for large scale portfolio optimization

    • Hitoshi Takehara

    OriginalPaper Pages: 373 - 386

23. A new approach to firm evaluation

    • Erik M. Vermeulen
    • Jaap Spronk
    • Nico van der Wijst

    OriginalPaper Pages: 387 - 403

24. Using kalman filter and finite difference techniques in default free bond pricing models

    • David Weeks
    • Suleiman Kassicieh

    OriginalPaper Pages: 405 - 431

25. Mean-absolute deviation portfolio optimization for mortgage-backed securities

    • Stavros A. Zenios
    • Pan Kang

    OriginalPaper Pages: 433 - 450