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Common mistakes in computing the nucleolus

Guajardo, Mario; Jörnsten, Kurt - In: European Journal of Operational Research 241 (2015) 3, pp. 931-935

Despite linear programming and duality have correctly been incorporated in algorithms to compute the nucleolus, we have … have multiple optimal solutions and neglecting the relevance of duality appear to be crucial sources of mistakes in … purpose of this note is to prevent these mistakes propagate longer by clarifying how linear programming and duality can be …

Persistent link: https://www.econbiz.de/10011117464

Flows over time in time-varying networks: Optimality conditions and strong duality

Koch, Ronald; Nasrabadi, Ebrahim - In: European Journal of Operational Research 237 (2014) 2, pp. 580-589

condition, and a strong duality result for a very general class of network flows over time. …

Persistent link: https://www.econbiz.de/10011097681

Aggregation of scale efficiency

Zelenyuk, Valentin - In: European Journal of Operational Research 240 (2015) 1, pp. 269-277

In this article we generalize the aggregation theory in efficiency and productivity analysis by deriving solutions to the problem of aggregation of individual scale efficiency measures, primal and dual, into aggregate primal and dual scale efficiency measures of a group (e.g., industry). The new...

Persistent link: https://www.econbiz.de/10011097775

Multistage optimization of option portfolio using higher order coherent risk measures

Matmoura, Yassine; Penev, Spiridon - In: European Journal of Operational Research 227 (2013) 1, pp. 190-198

Choosing a suitable risk measure to optimize an option portfolio’s performance represents a significant challenge. This paper is concerned with illustrating the advantages of Higher order coherent risk measures to evaluate option risk’s evolution. It discusses the detailed implementation of...

Persistent link: https://www.econbiz.de/10010608496