An envelopment-analysis approach to measuring the managerial efficiency of banks Richard S. BarrLawrence M. SeifordThomas F. Siems OriginalPaper Pages: 1 - 19
Multi-stage stochastic linear programs for portfolio optimization George B. DantzigGerd Infanger OriginalPaper Pages: 59 - 76
A note on portfolio optimization with path-dependent utility Tadashi DohiShunji Osaki OriginalPaper Pages: 77 - 90
The development of efficient portfolios in Japan with particular emphasis on sales and earnings forecasting John B. Guerard Jr.Makoto TakanoYuji Yamane OriginalPaper Pages: 91 - 108
Valuing flexibility: an impulse control framework James E. HodderAlexander J. Triantis OriginalPaper Pages: 109 - 130
Approximate valuation of average options Hideki IwakiMasaaki KijimaToshihiro Yoshida OriginalPaper Pages: 131 - 145
Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities Masaaki KijimaMasamitsu Ohnishi OriginalPaper Pages: 147 - 163
Asymmetric risk measures and tracking models for portfolio optimization under uncertainty Alan J. King OriginalPaper Pages: 165 - 177
Another explanation for the bias observed in the filter rule test Kazuo Kishimoto OriginalPaper Pages: 179 - 186
Optimal portfolios with asymptotic criteria Hiroshi KonnoStanley R. PliskaKen-Ichi Suzuki OriginalPaper Pages: 187 - 204
A mean-absolute deviation-skewness portfolio optimization model Hiroshi KonnoHiroshi ShirakawaHiroaki Yamazaki OriginalPaper Pages: 205 - 220
A two-stage approach to multi-period allocation of savings among investment plans Patrick S. LeeGautam Vora OriginalPaper Pages: 221 - 242
Optimal bank portfolio choice under fixed-rate deposit insurance Anlong Li OriginalPaper Pages: 243 - 264
Univariate and multivariate measures of risk aversion and risk premiums Yuming LiWilliam T. Ziemba OriginalPaper Pages: 265 - 296
Thin trading and estimation of systematic risk: An application of an error-correction model Martti LuomaTeppo MartikainenJukka Perttunen OriginalPaper Pages: 297 - 305
Computation of mean-semivariance efficient sets by the Critical Line Algorithm Harry MarkowitzPeter ToddYuji Yamane OriginalPaper Pages: 307 - 317
Dynamic linkages between stock prices, accrual earnings and cash flows: a cointegration analysis Teppo MartikainenVesa Puttonen OriginalPaper Pages: 319 - 332
On the number of securities which constitute an efficient portfolio Munenori NakasatoKoichi Furukawa OriginalPaper Pages: 333 - 347
Optimal consumption and arbitrage in incomplete, finite state security markets Hiroshi ShirakawaHiromichi Kassai OriginalPaper Pages: 349 - 372
An interior point algorithm for large scale portfolio optimization Hitoshi Takehara OriginalPaper Pages: 373 - 386
A new approach to firm evaluation Erik M. VermeulenJaap SpronkNico van der Wijst OriginalPaper Pages: 387 - 403
Using kalman filter and finite difference techniques in default free bond pricing models David WeeksSuleiman Kassicieh OriginalPaper Pages: 405 - 431
Mean-absolute deviation portfolio optimization for mortgage-backed securities Stavros A. ZeniosPan Kang OriginalPaper Pages: 433 - 450