COMPUTATIONAL METHODS IN DECIS

Preface. Contributing Authors. Part I: Optimization Models. 1. Multi-period optimal asset allocation for a multi-currency hedged portfolio; D. Mignacca, A. Meucci. 2. Rebalancing Strategies for Long-term Investors; J.M. Mulvey, K.D. Simsek. 3. Multistage stochastic programming in computational finance; N. Gulpinar, et al. 4. Multistage stochastic optimization model for the cash management problem; O. Schmid. 5. Robust portfolio analysis; B. Rustem, R. Settergren. 6. Robust mean-semivariance portfolio optimization; O.L.V. Costa, et al. 7. Perturbative approaches for robust optimal portfolio problems; F. Trojani, P. Vanini. 8. Maxmin Portfolios in Models where Immunization is not Feasible; A. Balbás, A. Ibáñez. 9. Portfolio Optimization with VaR and Expected Shortfall; M. Gilli, E. Këllezi. 10. Borrowing Constraints, Portfolio Choice, and Precautionary Motives; M. Haliassos, C. Hassapis. 11. The risk profile problem for stock portfolio optimization; M.-Y. Kao, et al. 12. A capacitated transportation-inventory problem with stochastic demands; P. Chaovalitwongse, et al. 13. Utility maximisation with a time lag in trading; L.C.G. Rogers, E.J. Stapleton. 14. Simulations for hedging financial contracts with optimal decisions; H. Windcliff, et al. 15. Automatic differentiation for computational finance; C.H. Bischof, et al. Part II: Equilibria, Modelling and Pricing. 16. Interest rate barrier options; G. Barone-Adesi, G. Sorwar. 17. Pricing American optionsby fast solutions of LCPs; A. Borici, H.-J. Lüthi. 18. Hedging with Monte Carlo simulation; J. Cvitanić, et al. 19. In Search of Deterministic Complex Patterns in Commodity Prices; A. Chatrath, et al. 20. A review of stock market prediction using computational methods; I.E. Diakoulakis, et al. 21. Numerical strategies for solving SUR models; P. Foschi, et al. 22. Time-Frequency Representation in the Analysis of Stock Market Data; G. Turhan-Sayan, S. Sayan. 23. Opportunity cost algorithms for combinatorial auctions;