书名Optimisation, Econometric and Financial Analysis
作者Erricos John Kontoghiorghes, Cristian Gatu 
丛书 Advances in Computational Management Science
ISSN 1388-4301
学科 Economics/Management Science, Finance /Banking, Optimization, Quantitative Finance and Computing Methodologies
卷 Volume 9
学科 Economics/Management Science, Finance /Banking, Optimization, Quantitative Finance and Computing Methodologies
出版社 Springer Berlin Heidelberg
DOI 10.1007/3-540-36626-1
版权 2007

 

Contents
Part I Optimisation Models and Methods
A Supply Chain Network Perspective
for Electric Power Generation, Supply, Transmission,
and Consumption
Anna Nagurney, Dmytro Matsypura . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Worst-Case Modelling for Management Decisions
under Incomplete Information,
with Application to Electricity Spot Markets
Mercedes Esteban-Bravo, Berc Rustem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
An Approximate Winner Determination Algorithm
for Hybrid Procurement Mechanisms in Logistics
Chetan Yadati, Carlos A.S. Oliveira, Panos M. Pardalos . . . . . . . . . . . . . . 51
Proximal-ACCPM: A Versatile Oracle Based
Optimisation Method
Fr´ed´eric Babonneau, Cesar Beltran, Alain Haurie, Claude Tadonki,
Jean-Philippe Vial . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
A Survey of Different Integer Programming Formulations
of the Travelling Salesman Problem
A.J. Orman, H.P. Williams . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
Part II Econometric Modelling and Prediction
The Threshold Accepting Optimisation Algorithm
in Economics and Statistics
Peter Winker, Dietmar Maringer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
X Contents
The Autocorrelation Functions in SETARMA Models
Alessandra Amendola, Marcella Niglio, Cosimo Vitale . . . . . . . . . . . . . . . . 127
Trend Estimation and De-Trending
Stephen Pollock . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
Non-Dyadic Wavelet Analysis
Stephen Pollock, Iolanda Lo Cascio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167
Measuring Core Inflation
by Multivariate Structural Time Series Models
Tommaso Proietti . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
Part III Financial Modelling
Random Portfolios for Performance Measurement
Patrick Burns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227
Real Options with Random Controls, Rare Events,
and Risk-to-Ruin
Nicos Koussis, Spiros H. Martzoukos, Lenos Trigeorgis . . . . . . . . . . . . . . . 251
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 273

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