01 April 2018

Special Issue from the 6th FEBS Conference

The Special Issue “Analytical Models for Financial Modeling and Risk Management” prepared for the Annals of Operations Research on the occasion of the 6th International Conference of FEBS, held in Malaga (Spain) in 2016 has been completed.

The special issue was guest edited by Constantin Zopounidis (Technical University of Crete, Greece), Michalis Doumpos (Technical University of Crete, Greece) and Kyriaki Kosmidou (Aristotle University of Thessaloniki, Greece) and includes 22 papers. The special issue papers cover a wide range of topics, including derivatives, asset pricing, risk management, financial and banking institutions, portfolio selection, and fund management, among others.

The special issue will appear in an upcoming issue of the journal. All accepted papers in the list below are currently available at the website of the journal.


Portfolio diversification in the sovereign credit swap markets (Andrea Consiglio, Somayyeh Lotfi, Stavros A. Zenios)

Corporate hedging: an answer to the “how” question (Jörgen Blomvall, Jonas Ekblom)

Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk (Mariya Gubareva, Maria Rosa Borges)

Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal’s simplex (Dirk Sierag, Bernard Hanzon)

An analytical approximation for single barrier options under stochastic volatility models (Hideharu Funahashi, Tomohide Higuchi)

Convexity adjustment for constant maturity swaps in a multi-curve framework (Nikolaos Karouzakis, John Hatgioannides, Kostas Andriosopoulos)

Recent advancements in robust optimization for investment management (Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi)

Robust risk budgeting (Michalis Kapsos, Nicos Christofides, Berc Rustem)

On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets (A. Burak Paç, Mustafa Ç. Pınar)

Risk minimization in multi-factor portfolios: What is the best strategy? (Philipp J. Kremer, Andreea Talmaciu, Sandra Paterlini)

Robust equity portfolio performance (Jang Ho Kim, Woo Chang Kim, Do-Gyun Kwon, Frank J. Fabozzi)

Optimal decision for the market graph identification problem in a sign similarity network (V. A. Kalyagin, A. P. Koldanov, P. A. Koldanov, P. M. Pardalos)

Constant proportion portfolio insurance in defined contribution pension plan management (Busra Zeynep Temocin, Ralf Korn, A. Sevtap Selcuk-Kestel)

Tracking hedge funds returns using sparse clones (Margherita Giuzio, Kay Eichhorn-Schott, Sandra Paterlini, Vincent Weber)

Portfolio management with benchmark related incentives under mean reverting processes (Marco Nicolosi, Flavio Angelini, Stefano Herzel)

Are financial ratios relevant for trading credit risk? Evidence from the CDS market (George Chalamandaris, Nikos E. Vlachogiannakis)

Interdependencies between CDS spreads in the European Union: Is Greece the black sheep or black swan? (Dimitrios Koutmos)

On Chinese stock markets: How have they evolved over time? (Sebastián Cano-Berlanga, José-Manuel Giménez-Gómez)

Loan default prediction by combining soft information extracted from descriptive text in online peer-to-peer lending (Cuiqing Jiang, Zhao Wang, Ruiya Wang, Yong Ding)

The effects of sector reforms on the productivity of Greek banks: a step-by-step analysis of the pre-Euro era (Panagiotis Tziogkidis, Kent Matthews, Dionisis Philippas)

Assessing efficiency profiles of UK commercial banks: a DEA analysis with regression-based feedback (Jamal Ouenniche, Skarleth Carrales)

A combined methodology for the concurrent evaluation of the business, financial and sports performance of football clubs: the case of France (Emilios Galariotis, Christophe Germain, Constantin Zopounidis)

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