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Annals of Operations Research, Volume 165

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Volume 165, Number 1, January 2009

Stocastic Dynamic Modeling of Investments and Risks in Financial Markets

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Marida Bertocchi, Georg Ch. Pflug, Hercules Vladimirou:
Preface. 1-4
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Jitka Dupacová, Jan Polívka:
Asset-liability management for Czech pension funds using stochastic programming. 5-28
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Martin Smíd:
The Expected loss in the discretization of multistage stochastic programming problems - estimation and convergence rate. 29-45
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Diana Barro, Elio Canestrelli:
Tracking error: a multistage portfolio model. 47-66
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Adam Krzemienowski:
Risk preference modeling with conditional average: an application to portfolio optimization. 67-95
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  - journals/anor/IaquintaLML09
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Gaetano Iaquinta, Fabio Lamantia, Ivar Massabò, Sergio Ortobelli Lozza:
Moment based approaches to value the risk of contingent claim portfolios. 97-121
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Mondher Bellalah, Zhen Wu:
A simple model of corporate international investment under incomplete information and taxes. 123-143
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Sjur Didrik Flåm:
Pooling, pricing and trading of risks. 145-160
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André de Palma, Jean-Luc Prigent:
Standardized versus customized portfolio: a compensating variation approach. 161-185

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