Volume 281, Issue 1-2

Search all Annals of Operations Research articles

October 2019

Decision Making and Risk/Return Optimization in Financial Economics. Guest Editors: Farid AitSahlia, Giovanni Barone-Adesi, Ephraim Clark, Jean-Luc Prigent

19 articles in this issue

Preface: decision making and risk/return optimization in financial economics
Farid AitSahlia
Giovanni Barone-Adesi
Jean-Luc Prigent
S.I.: Risk in Financial Economics 23 July 2019 Pages: 1 - 2
Optimal strategy between extraction and storage of crude oil
Ilyes Abid
Stéphane Goutte
Khaled Guesmi
S.I.: Risk in Financial Economics 10 April 2018 Pages: 3 - 26
Forecast bankruptcy using a blend of clustering and MARS model: case of US banks
Zeineb Affes
Rania Hentati-Kaffel
S.I.: Risk in Financial Economics 10 April 2018 Pages: 27 - 64
Mixed-asset portfolio allocation under mean-reverting asset returns
Charles-Olivier Amédée-Manesme
Fabrice Barthélémy
Jean-Luc Prigent
S.I.: Risk in Financial Economics 30 January 2018 Pages: 65 - 98
NORTA for portfolio credit risk
Mohamed A. Ayadi
Hatem Ben-Ameur
Quang Khoi Tran
S.I.: Risk in Financial Economics 02 April 2018 Pages: 99 - 119
A measure of total firm performance: new insights for the corporate objective
Yacine Belghitar
Ephraim Clark
Konstantino Kassimatis
S.I.: Risk in Financial Economics Open access 31 July 2018 Pages: 121 - 141
An intertemporal capital asset pricing model under incomplete information and short sales
Mondher Bellalah
Detao Zhang
S.I.: Risk in Financial Economics 30 May 2018 Pages: 143 - 159
International capital asset pricing model: the case of asymmetric information and short-sale
Makram Bellalah
Fredj Amine Dammak
S.I. : Risk in Financial Economics Open access 22 January 2019 Pages: 161 - 173
Revisiting generalized almost stochastic dominance
Jow-Ran Chang
Wei-Han Liu
Mao-Wei Hung
S.I.: Risk in Financial Economics 20 April 2018 Pages: 175 - 192
Portfolio optimization under Solvency II
Marcos Escobar
Paul Kriebel
Rudi Zagst
S.I.: Risk in Financial Economics 02 April 2018 Pages: 193 - 227
On the multidimensional Black–Scholes partial differential equation
Tristan Guillaume
S.I. : Risk in Financial Economics 11 August 2018 Pages: 229 - 251
Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market
Yingyi Hu
S.I.: Risk in Financial Economics 13 April 2018 Pages: 253 - 274
Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
Fredj Jawadi
Wael Louhichi
Hachmi Ben Ameur
S.I.: Risk in Financial Economics 22 February 2018 Pages: 275 - 295
Dynamic integration and network structure of the EMU sovereign bond markets
Ahmet Sensoy
Duc Khuong Nguyen
Erk Hacihasanoglu
S.I.: Risk in Financial Economics 04 April 2018 Pages: 297 - 314
Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity
Edward W. Sun
Timm Kruse
Yi-Ting Chen
S.I. : Risk in Financial Economics 21 February 2019 Pages: 315 - 347
Idiosyncratic risk and mutual fund performance
Javier Vidal-García
Marta Vidal
Riadh Manita
S.I.: Risk in Financial Economics 20 February 2018 Pages: 349 - 372
Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach
Bangzhu Zhu
Shunxin Ye
Rui Xie
S.I.: Risk in Financial Economics 24 July 2018 Pages: 373 - 395
Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales
Mondher Bellalah
Yaosheng Xu
Detao Zhang
S.I.: Risk in Financial Economics 25 May 2018 Pages: 397 - 422
Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR
Charles-Olivier Amédée-Manesme
Fabrice Barthélémy
Didier Maillard
S.I.: Risk in Financial Economics 23 February 2018 Pages: 423 - 453

Volume 281, Issue 1-2

Preface: decision making and risk/return optimization in financial economics

Optimal strategy between extraction and storage of crude oil

Forecast bankruptcy using a blend of clustering and MARS model: case of US banks

Mixed-asset portfolio allocation under mean-reverting asset returns

NORTA for portfolio credit risk

A measure of total firm performance: new insights for the corporate objective

An intertemporal capital asset pricing model under incomplete information and short sales

International capital asset pricing model: the case of asymmetric information and short-sale

Revisiting generalized almost stochastic dominance

Portfolio optimization under Solvency II

On the multidimensional Black–Scholes partial differential equation

Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market

Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model

Dynamic integration and network structure of the EMU sovereign bond markets

Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity

Idiosyncratic risk and mutual fund performance

Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach

Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales

Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR

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