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Viewing: 1 - 50 of 398 papers

1.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Lawrence Berkeley National Laboratory and Western Michigan University
Downloads 9,782
2.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016, Forthcoming
Number of pages: 31 Posted: 28 Dec 2015 Last Revised: 24 May 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory
Downloads 5,784
3.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 4,688
4.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 3,427
5.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 2,551
8.

A Journey Through the 'Mathematical Underworld' of Portfolio Optimization

Number of pages: 26 Posted: 11 Feb 2013 Last Revised: 05 Jul 2015
Working Paper Series
Lawrence Berkeley National Laboratory
Downloads 1,427
9.

Reformulation of Nash Equilibrium with an Application to Interchangeability

Number of pages: 14 Posted: 21 Jun 2015 Last Revised: 09 May 2016
Working Paper Series
Osaka University - Graduate School of Economics
Downloads 1,238
10.

Heuristic Optimisation in Financial Modelling

Annals of Operations Research, Vol. 193, No. 1, pp. 129-158, 2012
Number of pages: 31 Posted: 02 Oct 2008 Last Revised: 14 Mar 2013
Accepted Paper Series
University of Geneva - Department of Economics and Independent
Downloads 719
11.

Representation-Constrained Canonical Correlation Analysis: A Hybridization of Canonical Correlation and Principal Component Analyses

Number of pages: 24 Posted: 12 Feb 2009
Working Paper Series
North-Eastern Hill University (NEHU)
Downloads 711
12.

Optimal Consumption and Investment with Bankruptcy

Suresh Sethi, OPTIMAL CONSUMPTION AND INVESTMENT WITH BANKRUPTCY, Kluwer Academic Publishers, Boston MA, 1997, 428 pages.
Number of pages: 444 Posted: 10 Apr 2008 Last Revised: 07 Nov 2017
Working Paper Series
University of Texas at Dallas - Naveen Jindal School of Management
Downloads 691
13.

Stochastic Portfolio Theory Optimization and the Origin of Alternative Asset Allocation Strategies

Number of pages: 28 Posted: 09 May 2013
Working Paper Series
Ersel Asset Management SGR s.p.a.
Downloads 673
14.

Issues of Nelder-Mead Simplex Optimisation with Constraints

Number of pages: 7 Posted: 02 Jul 2012
Working Paper Series
Calypso Technology
Downloads 638
15.

Decision-Making for Facility Location Using Vikor Method

Journal of International Scientific Publications: Economy & Business, vol.7, pp.308-330, 2013
Number of pages: 23 Posted: 22 Jan 2014
Accepted Paper Series
Istanbul University - School of Business and Istanbul University - School of Business - Department of Quantitative Techniques
Downloads 592
16.

Optimal Housing, Consumption, and Investment Decisions over the Life-Cycle

Number of pages: 63 Posted: 08 Mar 2008 Last Revised: 12 Jan 2011
Working Paper Series
Goethe University Frankfurt and Copenhagen Business School
Downloads 564
17.

Warehouse Real-Time Simulator – How to Optimize Order Picking Time

Number of pages: 18 Posted: 18 Nov 2013
Working Paper Series
Uniwersytet Ekonomiczny we Wrocławiu
Downloads 561
18.

Designing and Evaluating Sustainable Logistics Networks

ERIM Report Series Reference No. ERS-2006-003-LIS
Number of pages: 31 Posted: 28 Mar 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Erasmus University Rotterdam (EUR) - Department of Technology and Operations Management, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR) - Department of Technology and Operations Management
Downloads 558
19.

Financial Quantum Computing (Presentation Slides)

Number of pages: 13 Posted: 07 Oct 2016
Working Paper Series
Lawrence Berkeley National Laboratory
Downloads 515
20.

Appointment Scheduling with Limited Distributional Information

Number of pages: 41 Posted: 29 Aug 2013
Working Paper Series
University of Oxford - Said Business School, Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 481
21.

A Tutorial on Optimal Control Theory

INFOR, Vol. 19, No. 4, p. 279-291, November 1981
Number of pages: 14 Posted: 24 Jun 2009 Last Revised: 22 Mar 2014
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management and Carnegie Mellon University
Downloads 474
22.

Cargo Revenue Management: Bid-Prices for a 0-1 Multi Knapsack Problem

ERIM Report Series Reference No. ERS-2004-055-LIS
Number of pages: 28 Posted: 28 Sep 2004
Working Paper Series
Erasmus Research Institute of Management (ERIM) and Erasmus University, Rotterdam (EUR) - Erasmus School of Economics
Downloads 444
23.

Combinatorial Optimization Using Artificial Bee Colony Algorithm and Particle Swarm Optimization Supported Genetic Algorithm

Kafkas University Journal of Economics and Administrative Sciences Faculty, Vol. 4, Issue 6, 2013
Number of pages: 12 Posted: 23 Jan 2014
Accepted Paper Series
Istanbul University - School of Business - Department of Quantitative Techniques, Quantative Methods,Istanbul University and Istanbul University School of Business Department of Quantitative Methods
Downloads 435
24.

Contracting and Coordination Under Asymmetric Production Cost Information

Production and Operations Management, 21(2)345-260
Number of pages: 36 Posted: 17 Jan 2008 Last Revised: 12 Nov 2012
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management, Southwestern University of Finance and Economics (SWUFE) - School of Business Administration and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 422
25.

Optimal Cash Management under Uncertainty

Operations Research Letters, Vol. 37, pp. 425-429, 2009
Number of pages: 15 Posted: 28 Feb 2009 Last Revised: 27 Mar 2014
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 418
26.

A Concise Guide to Dynamic Optimization

Number of pages: 43 Posted: 16 Oct 2011 Last Revised: 27 Nov 2016
Working Paper Series
State University of New York at Buffalo - Department of Economics
Downloads 412
27.

Determining Number of Zones in a Pick-and-Pack Orderpicking System

ERIM Report Series Reference No. ERS-2005-029-LIS
Number of pages: 32 Posted: 25 Oct 2005
Working Paper Series
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR) - Department of Technology and Operations Management
Downloads 409
28.

Operations Research/Management Contributions to Emergency Department Patient Flow Optimization: Review and Research Prospects

IIE Transactions on Healthcare Systems Engineering, Forthcoming
Number of pages: 40 Posted: 05 Apr 2014 Last Revised: 07 Feb 2015
Accepted Paper Series
Harvard University - Harvard Kennedy School (HKS), Arizona State University (ASU) and Mayo Clinic College of Medicine
Downloads 391
29.

Search Engine Optimization: What Drives Organic Traffic to Retail Sites?

Number of pages: 37 Posted: 10 Jun 2013 Last Revised: 19 Jun 2014
Working Paper Series
Indiana University - Kelley School of Business - Department of Business Economics & Public Policy, Clemson University and Indiana University - Kelley School of Business - Department of Business Economics & Public Policy

Multiple version iconThere are 2 versions of this paper

Downloads 363
30.

Assortment Optimization Under General Choice

Number of pages: 51 Posted: 22 Oct 2014 Last Revised: 05 Mar 2016
Working Paper Series
New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 359
31.

Harvesting Altruism in Open-Source Software Development

Journal of Optimization Theory and Applications, Vol. 118, No. 2, August 2003
Number of pages: 36 Posted: 04 Jun 2002 Last Revised: 02 Jul 2014
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 340
32.

Optimal Shelf Space Allocation Using System Dynamics Approach: A Case Study in Shoe Retailing Industry

Number of pages: 28 Posted: 19 May 2011
Working Paper Series
Suleman Dawood School of Business (SDSB) and Lahore University of Management Sciences (LUMS)
Downloads 340
33.

Inventory Strategies for Systems with Fast Remanufacturing

ERIM Report Series Reference No. ERS-2002-77-LIS
Number of pages: 27 Posted: 05 Feb 2003
Working Paper Series
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) - Department of Technology and Operations Management and Aristotle University of Thessaloniki - Department of Mechanical Engineering
Downloads 313
34.

Supply Chain Network Operations Management of a Blood Banking System with Cost and Risk Minimization

Computational Management Science, Forthcoming
Number of pages: 32 Posted: 21 Feb 2011 Last Revised: 23 Jul 2011
Accepted Paper Series
University of Massachusetts Amherst - Isenberg School of Management - Department of Operations and Information Management, Manhattan College - Department of Management and Marketing, School of Business and University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration
Downloads 311
35.

Simplified Mean-Variance Portfolio Optimisation

Swiss Finance Institute Research Paper No. 11-68
Number of pages: 36 Posted: 18 Jan 2012 Last Revised: 13 Jun 2012
Working Paper Series
Université Paris VII Denis Diderot and ETH Zurich
Downloads 299
36.

Estimating Allocations for Value-at-Risk Portfolio Optimzation

Number of pages: 24 Posted: 25 Oct 2007
Working Paper Series
IMA-UCO and Université de Rennes 1
Downloads 289
37.

Introduction to Convex and Quasiconvex Analysis

ERIM Report Series Reference No. ERS-2004-075-LIS
Number of pages: 95 Posted: 29 Sep 2004 Last Revised: 04 Feb 2008
Working Paper Series
Erasmus University, Rotterdam (EUR) - Department of Econometrics and Babes-Bolyai University - Faculty of Mathematics and Computer Science
Downloads 287
38.

Optimal Ordering Policies for Stochastic Inventory Problems with Observed Information Delays

Production and Operations Management, Vol. 18, No. 5, pp. 546-559, 2009
Number of pages: 14 Posted: 28 Feb 2008 Last Revised: 26 Oct 2009
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 286
39.

Optimal Just-in-Time Schedules for Flexible Transfer Lines

International Journal of Flexible Manufacturing Systems, Vol. 6, No. 2, pp. 137-154, April 1994
Number of pages: 18 Posted: 12 May 2008 Last Revised: 03 Apr 2009
Working Paper Series
University of Toronto and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 282
40.

Optimal Pricing and Advertising in a Durable-Good Duopoly

European Journal of Operational Research, Vol. 200, No. 2, pp. 486-497, January 2010
Number of pages: 33 Posted: 02 Apr 2008 Last Revised: 28 May 2010
Accepted Paper Series
University of Central Florida, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 260
41.

Robust Portfolio Optimization Under Sampling Error: Estimation of Sampling Error in Small Eigen Value by Semidefinite Programming

Number of pages: 9 Posted: 11 Jul 2013 Last Revised: 13 Sep 2013
Working Paper Series
Resona Bank
Downloads 258
42.

Optimal Response Modeling: Comparison of Logistic Regression, Random Forest and I* Algorithm

Number of pages: 45 Posted: 29 Aug 2011
Working Paper Series
Independent
Downloads 256
43.

Using Short-Term Predictions for Participation-Rate Driven Trading Algorithms

Number of pages: 20 Posted: 02 Dec 2012 Last Revised: 16 Apr 2013
Working Paper Series
HSBC and Capital Fund Management
Downloads 256
44.

Application of Portfolio Optimization Techniques on Indian Mutual Funds: A Primer

Number of pages: 26 Posted: 18 Mar 2016
Working Paper Series
Rizvi Institute of Management Studies & Research
Downloads 253
45.

Optimal Long-Term Contracting with Learning

Chicago Booth Research Paper No. 12-36, Fama-Miller Working Paper
Number of pages: 58 Posted: 25 Jan 2012 Last Revised: 09 Oct 2016
Working Paper Series
University of Chicago - Booth School of Business, and NBER, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and Tsinghua University

Multiple version iconThere are 2 versions of this paper

Downloads 248
46.

A Proof of the EOQ Formula Using Quasi-Variational Inequalities

International Journal of Systems Science, Vol. 29, No. 11, pp. 1295-1299, 1998
Number of pages: 11 Posted: 18 Apr 2008 Last Revised: 27 Mar 2014
Accepted Paper Series
M-Factor, Inc. and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 243
47.

Coordination Mechanism for the Supply Chain with Leadtime Consideration and Price-Dependent Demand

European Journal of Operational Research, Vol. 203, No. 1, pp. 70-80, May 2010
Number of pages: 25 Posted: 07 Nov 2008 Last Revised: 28 May 2010
Accepted Paper Series
affiliation not provided to SSRN, City Univ. of Hong Kong - Dept of Management Scienes, The Hong Kong Polytechnic University - Institute of Textiles and Clothing and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 243
48.

Explaining Data-Driven Document Classifications

NYU Working Paper No. 2451/31831
Number of pages: 54 Posted: 24 Jun 2013
Working Paper Series
University of Antwerp and New York University
Downloads 243
49.

Behavioral Modeling in Weight Loss Interventions

Number of pages: 35 Posted: 14 Sep 2016 Last Revised: 22 Feb 2017
Working Paper Series
University of California, Berkeley, University of California, Berkeley - Department of Industrial Engineering & Operations Research (IEOR), University of California, Berkeley - Department of Industrial Engineering and Operations Research, University of California, San Francisco (UCSF) - School of Nursing and University of California, San Francisco (UCSF) - School of Nursing
Downloads 242
50.

Forecast, Solution, and Rolling Horizons in Operations Management Problems: A Classified Bibliography

Manufacturing & Service Operations Management, Vol. 4, No. 1, pp. 25-43, Winter 2002
Number of pages: 41 Posted: 11 Mar 2008 Last Revised: 30 Apr 2014
Accepted Paper Series
Purdue University, George Mason University - School of Business and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 239