Whitepapers 2018-12-07T11:30:48+00:00


The Future Direction of Analytics
Introduction to Hedge Funds
UIMP: User Interface for Mathematical Programming
Sets and Indices in Linear Programming Modelling and their Integration with Relational Data Models
Adapting Online Analytical Processing for Decision Modelling: The Interaction of Information and Decision Technologies
Portfolio Optimization
Enhanced Indexation based on Second-Order Stochastic Dominance
An Enhanced Model for Portfolio Choice with SSD Criteria: A Constructive Approach
Processing Second-Order Stochastic Dominance Models using Cutting Plane Representations
Long-Short Portfolio Optimization in the Presence of Discrete Asset Choice Constraints and two Risk Measures
Portfolio Selection Models: A Review and New Directions
Mean-Risk Models Using Two Risk Measures: A Multi-Objective Approach
Portfolio Construction Based on Stochastic Dominance and Target Return Distributions
Computational Aspects of Alternative Portfolio Selection Models in the Presence of Discrete Asset Choice Constraints
Asset-Liability Management (ALM) using Stochastic Programming (SP)
Employees Provident Funds of Singapore, Malaysia, India and Sri Lanka: A Comparative Study
Simulation and Performance Evaluation of Liability Driven Investment (LDI)
Alternative Decision Models for Liability Driven Investment
Defined contribution schemes: Members alive and kicking! But is the fund dead?
LDI: An Enterprise-Wide Risk Management Approach
Quantitative Methods for LDI Solutions
Evaluation and Simulation of Liability Determined Investment Models
Measuring Pension Fund Performance using Risk-Adjusted Measurements
Models and Solution Methods for Liability Determined Investment
Supply Chain Planning and Management
Robust Solutions and Risk Measures for a Supply Chain Planning Problem Under Uncertainty
Equity Portfolio Risk (Volatility) Estimation Using Market Information and Sentiment
Macroeconomic news: Enhanced risk assessment for sovereign bond spreads
Using social media and news sentiment data to construct a momentum strategy
Enhanced Corporate Bond Yield Modelling Incorporating Macroeconomic News Sentiment
News Augmented GARCH(1,1) Model for Volatility Prediction
Using Market Sentiment to Enhance Second Order Stochastic Dominance Trading Models
Volatility Forecast with GARCH Model and News Analytics
Volatility Forecast Using GARCH, News Sentiment and Implied Volatility
Impact of News on Asset Behaviour: Return, Volatility and Liquidity in an Intra-day Setting
Automated Analysis of News to Compute Market Sentiment: Its Impact on Liquidity and Trading
Applications of news analytics in Finance: A review
Scenario generation for Stochastic Programming
Hidden Markov Models for Financial Optimization Problems
Scenario Generation for Financial Modelling Desirable Properties and A Case Study
HMM Based Scenario Generation for an Investment Optimization Problem
Scenario Generation for Stochastic Programming and Simulation: A Modelling Perspective
Market Regime Identification Using Hidden Markov Models
Quadratic Programming for Portfolio Planning: Insights into Algorithmic and Computational Issues. Part I – Solving a Family of QP Models
Quadratic Programming for Portfolio Planning: Insights into Algorithmic and Computational Issues. Part II – Processing of Portfolio Planning Models with Discrete Constraints
A Computational Study of a Solver System for Processing Two-Stage Stochastic LPs with Enhanced Benders Decomposition
Modelling the Risk of Failure in Explosion Protection Installations
Forecasting calendar futures spreads of crude oil