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Central European Journal of Operations Research最新文献

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Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints. 银行基础的稳健投资组合优化:具有强制性约束的资产配置CVaR方法。
IF 1.7 4区 管理学
Central European Journal of Operations Research Pub Date : 2023-01-01 DOI: 10.1007/s10100-022-00821-5
Maria Cristina Arcuri, Gino Gandolfi, Fabrizio Laurini
{"title":"Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints.","authors":"Maria Cristina Arcuri,&nbsp;Gino Gandolfi,&nbsp;Fabrizio Laurini","doi":"10.1007/s10100-022-00821-5","DOIUrl":"https://doi.org/10.1007/s10100-022-00821-5","url":null,"abstract":"<p><p>This paper focuses on an innovative asset allocation strategy for risk averse investors who operate on very long-time horizons, such as endowments and the Italian foundations of banking origin (FBOs). FBOs play a pivotal role in supporting economic, financial and sustainable growth in the long term. In the search for a model which optimizes FBO portfolio choices in the light of regulatory constraints on their sizeable investable portfolio, we highlight the risk-adjusted performances obtained using a robust conditional VaR (R-CVaR) approach-assuming different risk profiles-which corrects some of the Markowitz approach pitfalls and accounts for tail risk. We compare the two models using a buy and hold strategy: the R-CVaR delivers better returns than a Markowitz portfolio, even when those performances are measured with a mean-variance metric.</p>","PeriodicalId":9689,"journal":{"name":"Central European Journal of Operations Research","volume":"31 2","pages":"557-581"},"PeriodicalIF":1.7,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9614752/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9166131","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A goal programming model for two-stage COVID19 test sampling centers location-allocation problem. 两阶段covid - 19测试采样中心定位-分配问题的目标规划模型。
IF 1.7 4区 管理学
Central European Journal of Operations Research Pub Date : 2023-01-01 DOI: 10.1007/s10100-022-00797-2
Yusuf Kuvvetli
{"title":"A goal programming model for two-stage COVID19 test sampling centers location-allocation problem.","authors":"Yusuf Kuvvetli","doi":"10.1007/s10100-022-00797-2","DOIUrl":"https://doi.org/10.1007/s10100-022-00797-2","url":null,"abstract":"<p><p>The COVID19 virus, which first appeared in Wuhan, China, and has become a pandemic in a short time, has threatened the health system in many countries and put it into a bottleneck. Simultaneously, the second wave's expectation spread it necessary to plan the health services correctly. In this study, a location-allocation problem in the two-echelon system, which considers different test sampling alternatives, is examined to obtain test sampling centers' location-allocation. The problem is modeled as a goal programming model to create a network that tests samples at a minimum total distance, establishes a minimum number of test sampling centers, and reaches the distance of PCR test laboratories at minimum total distances. The proposed model is applied as a case study for the two cities located in Turkey, and the obtained locations and inventory levels of each location are presented. Besides, different scenarios are examined to understand the structure of the model. As a result, only testing in hospitals will increase the risk of contamination. Since testing at all points will not be possible administratively, it will be ensured that the most appropriate location-allocation decisions are taken by considering all the proposed model's objectives.</p>","PeriodicalId":9689,"journal":{"name":"Central European Journal of Operations Research","volume":"31 1","pages":"1-20"},"PeriodicalIF":1.7,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9034448/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10569379","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Possible new applications of the interactive programming based on aspiration levels—case of pure and mixed strategies 基于期望水平的交互式规划可能的新应用——纯策略和混合策略的情况
IF 1.7 4区 管理学
Central European Journal of Operations Research Pub Date : 2022-12-28 DOI: 10.1007/s10100-022-00836-y
Helena Gaspars-Wieloch
{"title":"Possible new applications of the interactive programming based on aspiration levels—case of pure and mixed strategies","authors":"Helena Gaspars-Wieloch","doi":"10.1007/s10100-022-00836-y","DOIUrl":"https://doi.org/10.1007/s10100-022-00836-y","url":null,"abstract":"","PeriodicalId":9689,"journal":{"name":"Central European Journal of Operations Research","volume":"31 1","pages":"733 - 749"},"PeriodicalIF":1.7,"publicationDate":"2022-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45183764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Some properties of the maximum loss on loan portfolios 贷款组合中最大损失的一些性质
IF 1.7 4区 管理学
Central European Journal of Operations Research Pub Date : 2022-12-19 DOI: 10.1007/s10100-022-00837-x
J. Vörös
{"title":"Some properties of the maximum loss on loan portfolios","authors":"J. Vörös","doi":"10.1007/s10100-022-00837-x","DOIUrl":"https://doi.org/10.1007/s10100-022-00837-x","url":null,"abstract":"","PeriodicalId":9689,"journal":{"name":"Central European Journal of Operations Research","volume":"1 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2022-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43783839","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal taxation of a perfectly competitive firm with Cobb–Douglas production function as a bilevel programming problem 具有柯布-道格拉斯生产函数的完全竞争企业的最优税收问题
IF 1.7 4区 管理学
Central European Journal of Operations Research Pub Date : 2022-12-16 DOI: 10.1007/s10100-022-00832-2
Zrinka Lukač
{"title":"Optimal taxation of a perfectly competitive firm with Cobb–Douglas production function as a bilevel programming problem","authors":"Zrinka Lukač","doi":"10.1007/s10100-022-00832-2","DOIUrl":"https://doi.org/10.1007/s10100-022-00832-2","url":null,"abstract":"","PeriodicalId":9689,"journal":{"name":"Central European Journal of Operations Research","volume":"31 1","pages":"891 - 909"},"PeriodicalIF":1.7,"publicationDate":"2022-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46648105","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Operating room scheduling with surgical team: a new approach with constraint programming and goal programming 带手术团队的手术室调度：一种新的约束规划和目标规划方法
IF 1.7 4区 管理学
Central European Journal of Operations Research Pub Date : 2022-12-14 DOI: 10.1007/s10100-022-00835-z
Şeyda Gür, Mehmet Pınarbaşı, Hacı Mehmet Alakaş, T. Eren
{"title":"Operating room scheduling with surgical team: a new approach with constraint programming and goal programming","authors":"Şeyda Gür, Mehmet Pınarbaşı, Hacı Mehmet Alakaş, T. Eren","doi":"10.1007/s10100-022-00835-z","DOIUrl":"https://doi.org/10.1007/s10100-022-00835-z","url":null,"abstract":"","PeriodicalId":9689,"journal":{"name":"Central European Journal of Operations Research","volume":"31 1","pages":"1061 - 1085"},"PeriodicalIF":1.7,"publicationDate":"2022-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42811157","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Optimal tax policy for single homogeneous commodity on n markets with export costs as a Stackelberg game 具有出口成本的n个市场上单一同质商品的最优税收政策
IF 1.7 4区 管理学
Central European Journal of Operations Research Pub Date : 2022-12-13 DOI: 10.1007/s10100-022-00822-4
Zrinka Lukač
{"title":"Optimal tax policy for single homogeneous commodity on n markets with export costs as a Stackelberg game","authors":"Zrinka Lukač","doi":"10.1007/s10100-022-00822-4","DOIUrl":"https://doi.org/10.1007/s10100-022-00822-4","url":null,"abstract":"","PeriodicalId":9689,"journal":{"name":"Central European Journal of Operations Research","volume":"31 1","pages":"873 - 890"},"PeriodicalIF":1.7,"publicationDate":"2022-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49200092","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A deterministic model for the inventory policy of countries for procurement of vaccines. 各国疫苗采购库存政策的确定性模型。
IF 1.7 4区 管理学
Central European Journal of Operations Research Pub Date : 2022-12-09 DOI: 10.1007/s10100-022-00831-3
Aysun Pınarbaşı, Béla Vizvári
{"title":"A deterministic model for the inventory policy of countries for procurement of vaccines.","authors":"Aysun Pınarbaşı, Béla Vizvári","doi":"10.1007/s10100-022-00831-3","DOIUrl":"10.1007/s10100-022-00831-3","url":null,"abstract":"<p><p>The countries are the units that procure the vaccines during the COVID-19 pandemic. The delivered quantities are huge. The countries must bear the inventory holding cost according to the variation of stock quantities. This cost depends on the speed of the vaccination in the country. This speed is time-dependent. The vaccinated portion of the population can be approximated by the cumulative distribution function of the Cauchy distribution. A model is provided for determining the minimal-cost inventory policy and its optimality conditions are provided. The model is solved for 20 countries for different numbers of procurements. The results reveal the individual behavior of each country.</p>","PeriodicalId":9689,"journal":{"name":"Central European Journal of Operations Research","volume":" ","pages":"1-13"},"PeriodicalIF":1.7,"publicationDate":"2022-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9734365/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10399017","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis. 社会经济危机时期用于动态组合优化的扭曲概率算子。
IF 1.7 4区 管理学
Central European Journal of Operations Research Pub Date : 2022-12-09 DOI: 10.1007/s10100-022-00834-0
Kerem Uğurlu, Tomasz Brzeczek
{"title":"Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis.","authors":"Kerem Uğurlu, Tomasz Brzeczek","doi":"10.1007/s10100-022-00834-0","DOIUrl":"10.1007/s10100-022-00834-0","url":null,"abstract":"<p><p>A robust optimal control of discrete time Markov chains with finite terminal <i>T</i> and bounded costs or wealth using probability distortion is studied. The time inconsistency of these distortion operators and hence its lack of dynamic programming are discussed. Due to that, dynamic versions of these operators are introduced, and its availability for dynamic programming is demonstrated. Based on dynamic programming algorithm, existence of the optimal policy is justified and an application of the theory to portfolio optimization along with a numerical study is also presented.</p>","PeriodicalId":9689,"journal":{"name":"Central European Journal of Operations Research","volume":" ","pages":"1-18"},"PeriodicalIF":1.7,"publicationDate":"2022-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9734642/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10399018","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dangers in using earned duration and other earned value metrics to measure a project’s schedule performance 使用赢得的工期和其他赢得的价值指标来衡量项目进度绩效的风险
IF 1.7 4区 管理学
Central European Journal of Operations Research Pub Date : 2022-12-04 DOI: 10.1007/s10100-022-00830-4
R. E. Wendell, T. Lowe, Mike M. Gordon
{"title":"Dangers in using earned duration and other earned value metrics to measure a project’s schedule performance","authors":"R. E. Wendell, T. Lowe, Mike M. Gordon","doi":"10.1007/s10100-022-00830-4","DOIUrl":"https://doi.org/10.1007/s10100-022-00830-4","url":null,"abstract":"","PeriodicalId":9689,"journal":{"name":"Central European Journal of Operations Research","volume":"31 1","pages":"665 - 680"},"PeriodicalIF":1.7,"publicationDate":"2022-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49429822","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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