SETSTOCH is a tool for linking Algebraic Modeling Languages with Specialized Stochastic Programming Solvers. Its main role is to retrieve from the modeling language a dynamically ordered core model (baseline scenario) that is then sent automatically to the Stochastic Solver. The user is thus...

The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate wether beta is a valid measure of risk has been renimated by Fama and French (1992) and subsequent studies. Rather than focusing on exogenous...

We describe in this paper a method allowing to order submodels in linear regression. A real function is attached to each submodel, allowing to graphically compare and order them. Our procedure defines an objective function depending on two factors (lack of fit and multicolinearity) with the...

Two new subroutines, SPLITDAT and DECOMP, have been created in the GAMS I/O library. The aim of these subroutines is to provide the GAMS user with the possibility of using Benders and other decomposition algorithms within the Gams modeling language framework.

We propose a generic path-following scheme which is essentially a method of centers that can be implemented with a variety of algorithms. The complexity estimate is computed on the sole assumption that a certain local quadratic convergence property holds, independently of the specific...

In this paper, we explore a weakness of a specific implementation of the analytic center cutting plane method applied to convex optimization problems, which may lead to weaker results that Kelley's cutting plane method. Improvements to the analytic center cutting plane method are suggested.