Browsing Institutt for industriell økonomi og teknologiledelse by Journals "Annals of Operations Research"

Now showing items 1-6 of 6

    • A branch-and-bound method for discretely-constrained mathematical programs with equilibrium constraints 

      Shim, Yohan; Fodstad, Marte; Gabriel, Steven; Tomasgard, Asgeir (Journal article; Peer reviewed, 2013)
      We present a branch-and-bound algorithm for discretely-constrained mathematical programs with equilibrium constraints (DC-MPEC). This is a class of bilevel programs with an integer program in the upper-level and a ...

    • Bounds in multi-horizon stochastic programs 

      Maggioni, Francesca; Allevi, Elisabetta; Tomasgard, Asgeir (Peer reviewed; Journal article, 2019)
      In this paper, we present bounds for multi-horizon stochastic optimization problems, a class of problems introduced in Kaut et al. (Comput Manag Sci 11:179–193, 2014) relevant in many industry-life applications typically ...

    • Can commodities dominate stock and bond portfolios? 

      Henriksen, Tom Erik Sønsteng; Pichler, Alois; Westgaard, Sjur; Frydenberg, Stein (Journal article; Peer reviewed, 2018)
      In this article we discuss whether commodities should be included as an asset class when establishing portfolios. By investigating second order stochastic dominance relations, we find that the stock and bond indices tend ...

    • The daily swab test collection problem 

      Aringhieri, Roberto; Bigharaz, Sara; Druetto, Alessandro; Duma, Davide; Grosso, Andrea; Guastalla, Alberto (Peer reviewed; Journal article, 2022)
      Digital Contact Tracing (DCT) has been proved to be an effective tool to counteract the new SARS-CoV-2 or Covid-19. Despite this widespread effort to adopt the DCT, less attention has been paid to the organisation of the ...

    • Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil 

      Chen, Jilong; Ewald, Christian Oliver; Ouyang, Ruolan; Westgaard, Sjur; Xiao, Xiaoxia (Peer reviewed; Journal article, 2021)
      In this paper we introduce a three factor model to price commodity futures contracts. This model allows both the spot price volatility and convenience yield to be stochastic, nevertheless futures prices can be obtained ...

    • Stochastic tramp ship routing with speed optimization: Analyzing the impact of the Northern Sea Route on CO2 emissions 

      Li, Mingyu; Fagerholt, Kjetil; Schütz, Peter (Peer reviewed; Journal article, 2022)
      To address the decarbonization challenge, we consider a tramp ship routing problem with speed optimization where the availability of future cargoes is uncertain. We propose a two-stage stochastic programming model to solve ...