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Annals of Operations Research, Volume 45
Volume 45, Number 1, December 1993
- Hiroshi Konno, David G. Luenberger, John M. Mulvey:
Preface. i-ii - Richard S. Barr
, Lawrence M. Seiford, Thomas F. Siems:
An envelopment-analysis approach to measuring the managerial efficiency of banks. 1-19 - Mark Broadie:
Computing efficient frontiers using estimated parameters. 21-58 - George B. Dantzig, Gerd Infanger:
Multi-stage stochastic linear programs for portfolio optimization. 59-76 - Tadashi Dohi
A note on portfolio optimization with path-dependent utility. 77-90 - John B. Guerard Jr., Makoto Takano, Yuji Yamane:
The development of efficient portfolios in Japan with particular emphasis on sales and earnings forecasting. 91-108 - James E. Hodder, Alexander J. Triantis:
Valuing flexibility: an impulse control framework. 109-130 - Hideki Iwaki, Masaaki Kijima, Toshihiro Yoshida:
Approximate valuation of average options. 131-145 - Masaaki Kijima, Masamitsu Ohnishi:
Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities. 147-163 - Alan J. King:
Asymmetric risk measures and tracking models for portfolio optimization under uncertainty. 165-177 - Kazuo Kishimoto:
Another explanation for the bias observed in the filter rule test. 179-186 - Hiroshi Konno, Stanley R. Pliska
Optimal portfolios with asymptotic criteria. 187-204 - Hiroshi Konno, Hiroshi Shirakawa, Hiroaki Yamazaki:
A mean-absolute deviation-skewness portfolio optimization model. 205-220 - Patrick S. Lee, Gautam Vora:
A two-stage approach to multi-period allocation of savings among investment plans. 221-242 - Anlong Li:
Optimal bank portfolio choice under fixed-rate deposit insurance. 243-264 - Yuming Li, William T. Ziemba:
Univariate and multivariate measures of risk aversion and risk premiums. 265-296 - Martti Luoma, Teppo Martikainen, Jukka Perttunen:
Thin trading and estimation of systematic risk: An application of an error-correction model. 297-305 - Harry M. Markowitz, Peter Todd, Ganlin Xu, Yuji Yamane:
Computation of mean-semivariance efficient sets by the Critical Line Algorithm. 307-317 - Teppo Martikainen, Vesa Puttonen
Dynamic linkages between stock prices, accrual earnings and cash flows: a cointegration analysis. 319-332 - Munenori Nakasato, Koichi Furukawa:
On the number of securities which constitute an efficient portfolio. 333-347 - Hiroshi Shirakawa, Hiromichi Kassai:
Optimal consumption and arbitrage in incomplete, finite state security markets. 349-372 - Hitoshi Takehara:
An interior point algorithm for large scale portfolio optimization. 373-386 - Erik M. Vermeulen, Jaap Spronk, Nico van der Wijst:
A new approach to firm evaluation. 387-403 - David Weeks, Suleiman K. Kassicieh:
Using Kalman filter and finite difference techniques in default free bond pricing models. 405-431 - Stavros A. Zenios
Mean-absolute deviation portfolio optimization for mortgage-backed securities. 433-450
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