Report NEP-ORE-2014-01-17

This is the archive for NEP-ORE, a report on new working papers in the area of Operations Research. Walter Frisch issued this report. It is usually issued weekly.

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Other reports in NEP-ORE

The following items were announced in this report:

• McAleer, M.J. & Chan, F. & Oxley, L., 2013. "Modelling and Simulation: An Overview," Econometric Institute Research Papers EI2013-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Zhu, Ke & Li, Wai Keung, 2014. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52732, University Library of Munich, Germany.
• Weiyin Fei, 2014. "Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions," Papers 1401.2531, arXiv.org.
• Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2013. "Partial information about contagion risk, self-exciting processes and portfolio optimization," SAFE Working Paper Series 28, Leibniz Institute for Financial Research SAFE.
• Ascheberg, Marius & Branger, Nicole & Kraft, Holger, 2013. "When do jumps matter for portfolio optimization?," SAFE Working Paper Series 16, Leibniz Institute for Financial Research SAFE.
• Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
• Kraft, Holger & Seifried, Frank Thomas, 2013. "Stochastic differential utility as the continuous-time limit of recursive utility," SAFE Working Paper Series 17, Leibniz Institute for Financial Research SAFE.
• Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Econometric Institute Research Papers EI 2013-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Dimitrios D. Thomakos & Fotis Papailias, 2013. "Covariance Averaging for Improved Estimation and Portfolio Allocation," Working Paper series 66_13, Rimini Centre for Economic Analysis.
• Busse, Marc & Dacorogna, Michel & Kratz, Marie, 2013. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," ESSEC Working Papers WP1321, ESSEC Research Center, ESSEC Business School.
• Anton Velinov, 2013. "Can Stock Price Fundamentals Properly be Captured?: Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes," Discussion Papers of DIW Berlin 1350, DIW Berlin, German Institute for Economic Research.
• Matt Zahynacz, 2013. "Prospects for Exporting Liquefied Natural Gas from British Columbia: An Application of Monte Carlo Cost-Benefit Analysis," Working Papers 2013-03, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group.