Introduction to financial optimization: Mathematical Programming Special Issue John M. Mulvey Pages: 205 - 216
On consistency of stochastic dominance and mean–semideviation models Włodzimierz OgryczakAndrzej Ruszczyński Pages: 217 - 232
Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints Hiroshi KonnoAnnista Wijayanayake Pages: 233 - 250
Scenario tree generation for multiperiod financial optimization by optimal discretization G.Ch. Pflug Pages: 251 - 271
Credit risk optimization with Conditional Value-at-Risk criterion Fredrik AnderssonHelmut MausserStanislav Uryasev Pages: 273 - 291
A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation Yonggan ZhaoWilliam T. Ziemba Pages: 293 - 309
Integrated simulation and optimization models for tracking international fixed income indices Andrea ConsiglioStavros A. Zenios Pages: 311 - 339