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80
Voted
EOR
2008
150views more  EOR 2008»
15 years 21 days ago
Portfolio optimization when asset returns have the Gaussian mixture distribution
Abstract. Portfolios of assets whose returns have the Gaussian mixture distribution are optimized in the static setting to find portfolio weights and efficient frontiers using the ...
Ian Buckley, David Saunders, Luis Seco
47
Voted
EOR
2008
79views more  EOR 2008»
15 years 21 days ago
Valuation of urban industrial land: An analytic network process approach
Pablo Aragonés-Beltrán, Jerón...
73
Voted
EOR
2008
162views more  EOR 2008»
15 years 21 days ago
Simple bounds and greedy algorithms for decomposing a flow into a minimal set of paths
Given arbitrary source and target nodes s, t and an s
Benedicte Vatinlen, Fabrice Chauvet, Philippe Chr&...
EOR
2008
87views more  EOR 2008»
15 years 21 days ago
Calibration of the default probability model
In this paper, we study the calibration problem for the Merton
Alexander Y. Kreinin, Ahmed Nagi
110
Voted
EOR
2008
159views more  EOR 2008»
15 years 21 days ago
A survey on the continuous nonlinear resource allocation problem
Our problem of interest consists of minimizing a separable, convex and differentiable function over a convex set, defined by bounds on the variables and an explicit constraint des...
Michael Patriksson
77
Voted
EOR
2008
75views more  EOR 2008»
15 years 21 days ago
Time dependent vehicle routing problem with a multi ant colony system
Alberto V. Donati, Roberto Montemanni, Norman Casa...
67
Voted
EOR
2008
69views more  EOR 2008»
15 years 21 days ago
Coordinating the supply chain in the agricultural seed industry
This paper examines contract practices between suppliers and retailers in the agricultural seed industry. We construct and analyze single-retailer models of various contract types...
Samuel Burer, Philip C. Jones, Timothy J. Lowe
95
Voted
EOR
2008
88views more  EOR 2008»
15 years 21 days ago
Selection of a correlated equilibrium in Markov stopping games
This paper deals with an extension of the concept of correlated strategies to Markov stopping games. The Nash equilibrium approach to solving nonzero-sum stopping games may give m...
David M. Ramsey, Krzysztof Szajowski
74
Voted
EOR
2008
110views more  EOR 2008»
15 years 21 days ago
Response time and vendor-assembler relationship in a supply chain
Relationships between an assembler and a vendor in a supply chain are investigated in two-period models when the assembler wants to reduce response time by incentive systems. The ...
Seongje Ahn, Hosun Rhim, S. Hun Seog
EOR
2008
87views more  EOR 2008»
15 years 21 days ago
The geometry of nesting problems: A tutorial
Julia A. Bennell, José F. Oliveira