Publications – research results
Publications 2009
[1] Fulga, C., Preda, V., Nonlinear Programming with E-Preinvex and Local E-Preinvex
Functions, European Journal of Operational Research, Vol. 192 (3), pp.
737-743, 2009.
http://dx.doi.org/10.1016/j.ejor.2007.11.056
[2] Fulga, C., Dedu, S., Serban, F., Portfolio
Selection with Prior Stock Selection, Economic Computation and
Economic Cybernetics Studies and Research, Vol 43 (4), pp. 157-172, 2009.
http://www.ecocyb.ase.ro
[3] Fulga, C., Dedu, S., Modeling Risk
with VaR and CVaR Risk Measures with Applications in Portfolio Management,
Studii şi Cercetări de Calcul Economic şi Cibernetică
Economică, Vol. 1-2, pp. 99-112, 2009.
http://www.revcib.ase.ro/
[4] Fulga, C., Dynamic Model for Portfolio
Optimization, Book Series:
Lecture Notes in Engineering and Computer Science, IMECS 2009:
International MultiConference of Engineering and Computer Sciences, Vol. 2,
pp. 2081-2086, Eds.: S. I. Ao, O. Castillo, C. Douglas, D. Dagan Feng, J.-A
Lee , Publisher: Newswood Ltd. IAENG, Hong Kong, ISBN: 978-988-17012-7-5 ,
2009.
http://www.iaeng.org/publication/IMECS2009/
[5] Fulga, C., Multistage Portfolio Optimization, Proceedings of the XIII
International Conference on Applied Stochastic Models and Data Analysis (ASMDA
2009), pp. 497-502, Eds: Leonidas Sakalauskas, Christos Skiadas, Edmundas
K. Zavadskas, ISBN: 978-9955-28-463-5, Publisher: Vilnius Gediminas Technical University Press, 2009.
http://www.vgtu.lt/leidiniai/leidykla/ASMDA_2009/22/22-103.htm
[6] Fulga, C., Dynamic Portfolio Optimization for
Utility-Based Models , Proceedings of the 2009 International
Conference on Information and Financial Engineering (ICIFE 2009), pp.
117-121, ISBN: 978-0-7695-3606-4, Publisher: IEEE Computer Society,
Computer Society Press, 2009.
http://ieeexplore.ieee.org/xpl/tocresult.jsp?isnumber=5189957&ampampampampisYear=2009&ampampampampcount=40&ampampampamppage=1&ampampampampResultStart=25
[7] Fulga, C., Stochastic Models for Portfolio Management with Minimum
Transaction Lots, Proceedings of the International Conference on
Economic Cybernetic Analysis: Global Crisis Effects on Developing
Economies, Vol. 1, pp. 631-637, Editura ASE, 2009, ISBN: 978-606-505-219-2.
[8] Fulga, C., Dedu, S., A Comparative Approach in Risk Management
using VaR and CVaR Risk Measures, Proceedings of the International
Conference on Economic Cybernetic Analysis: Global Crisis Effects on
Developing Economies, Vol. 2, pp. 715-724, Editura ASE, 2009, ISBN:
978-606-505-219-2 .
Publications 2010
[9] Agapie, A. (2010). Simple form of the stationary
distribution for 3D cellular automata in a special case, Physica A
(Statistical Mechanics and its Applications), 389(13), 2495-2499.
http://www.sciencedirect.com/science?_ob=PublicationURL&_tockey=%23TOC%235534%232010%23996109986%232039735%23FLA%23&_cdi=5534&_pubType=J&_auth=y&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=892139e4f14a53ad55387939ee8abc1d
[10] Dedu, S., Ciumara, R. (2010). Restricted Optimal Retention in
Stop-Loss Reinsurance under VaR and CTE Risk Measures, Proceedings of
The Romanian Academy, Series A, 11(3) 213-217.
http://www.acad.ro/sectii2002/proceedings/proc_pag2010_n03.htm
[11] Fulga, C., Dedu, S. (2010). A New Approach in Multi-Objective
Portfolio Optimization using Value-at-Risk based Risk Measure, Proceedings
of International Conference on Information and Financial Engineering ICIFE
2010, pp. 765-769, DOI: 10.1109/ICIFE.2010.5609467, IEEE Computer Society
Press.
http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=5609467
[12] Fulga, C. (2010) Probabilities with Applications in Portfolio Management (in
Romanian), Publ. ASE, Bucharest, ISBN: 978-606-505-335-9.
[13] Fulga, C. (2010). Optimal Portfolio Selection with Disutility Based Risk Measure,
under review at European Journal of Operational Research.
[14] Dedu, S., Fulga, C. (2010). Quantile-Based Risk Optimization with
Prior Stock Selection for Asset Allocation, under review at Romanian
Journal of Economic Forecasting.
[15] Fulga, C., Dedu, S. (2010). Risk modeling with new quantile based
risk measures applied to portfolio optimization, under review at
Journal of Optimization Theory and Applications.
[16] Fulga, C.,
Popescu, C. C. (2010). Possibilistic portfolio optimization with LR(1/2)-
piecewise linear fuzzy parameters,
under review at Fuzzy Optimization and Decision Making.
[17] Popescu, C.
C., Fulga, C. (2010). Chance constrained programming with polygonal type
fuzzy parameters with application in portfolio management, under review at Fuzzy Sets and Systems.
[18] Dedu, S., Fulga, C. (2010). Value-at-Risk Estimation Comparative
Approach with Applications to Optimization Models, under review at
Economic Computation and Economic Cybernetics Studies and Research.
[19] Dedu, S., (2010) Mean-Risk
Portfolio Optimization with Principal Component Analysis Based Stock
Selection, Proceedings 10ème Colloque Franco-Roumain de
Mathématiques Appliquées, Poitiers.
[20] Fulga, C. (2010) Risk-return portfolio
optimization with disutility function, Proceedings of 24th European
Conference on Operational Research, Lisabona.
[21] Fulga, C. (2010) Single-period
Portfolio Optimization in a Reward-risk Framework, Proceedings of 2010
International Conference on Operations Research, Munchen.
[22] Fulga, C. (2010) Utility-based
mean-risk portfolio optimization, Proceedings of 2010 International
Congress on Computational and Applied Mathematics, Leuven.
[23] Popescu, C.C., Fulga, C. (2010) Fuzzy
portfolio optimization, Proceedings of the 5th International Conference
on Economic Cybernetic Analysis: Efficiency of Social and Economic
Anti-Crisis Policies, Bucharest.
Organization of special sessions at
international conferences in 2010
1) Organization of the Special Session Decision
Making Modeling and Risk Assessment within The 4th International
Conference on Economic Cybernetic Analysis: Global Crisis Effects on
Developing Economies, May 22-23, 2009, Bucharest
Session organizer: Cristinca FULGA.
Two papers ([7] and [8] in the previous list)
representing the research results in 2009 were presented.
2) Organization of the Scientifique Workshop Multicriteria
decision making modeling with the participation of the members of the
Department of Mathematics (November 2009).
Workshop organizer: Silvia DEDU.
Three papers ([2], [3] and [4] in the previous
list) representing the research results in 2009 were presented.
3) Organization of the Special Session Decision
Making Modeling and Risk Assessment within The 5th International Conference
on Economic Cybernetic Analysis: Efficiency of Social and Economic
Anti-Crisis Policies, May 14-15, 2010, Bucharest.
Session organizer: Cristinca FULGA.
Two papers ([14] and [16] in the previous
list) representing the research results in 2010 were presented.
Publications 2011
[24] Fulga, C.,
Dedu, S., Popescu, C., Risk Management. Applications in Portfolio
Management (in Romanian), Editura ASE, Bucureşti, ISBN
978-606-505-473-8, 2011.
[25] Fulga, C., Optimal
portfolio selection with disutility based risk measure, re-submitted in
2011 after review to European Journal of Operational Research, initial
submission in 2010 to European Journal of Operational Research, under
review.
[26] Popescu, C.,
Fulga, C., Possibilistic Optimization with Application to Portfolio
Selection, Proceedings of Romanian Academy - Series A: Mathematics,
Physics, Technical Science, Information Science, Vol. 12, Issue: 2, Pages:
88-94, 2011.
[27] Dedu, S.,
Fulga, C., Value-at-Risk estimation comparative approach with applications
to optimization problems, Economic Computation and Economic Cybernetics
Studies and Research, Volume: 45, Issue: 1, Pages: 127-142, 2011.
[28] Agapie, A., Agapie, M., Zbaganu, G.,
(2011) Evolutionary algorithms for continuous-space optimisation,
International Journal of Systems Science, Impact factor: 0.948, Scor
relativ de influenta: 0.62302, published online.
[29] Fulga, C.,
Popescu, C., Possibilistic portfolio optimization with LR(1/2)-
piecewise linear fuzzy parameters, re-submitted in 2011 after review to
RAIRO – Operations Research, under review.
[30] Popescu, C.,
Fulga, C., Chance constrained programming with polygonal type fuzzy
parameters with application in portfolio management, re-submitted in
2011 after review to International Journal of Uncertainty, Fuzziness and
Knowledge-Based Systems, under review.
[31] Fulga, C.,
Dedu, S., Risk modeling with new quantile based risk measures applied to
portfolio optimization, re-submitted in 2011 after review to Annals of
Operations Research, under review.
[32] Dedu, S.,
Fulga, C., Quantile-Based Risk Optimization with Prior Stock
Selection for Asset Allocation, under
review from 2010 at Romanian Journal of Economic Forecasting.
[33] Fulga, C., Mean-Risk
Portfolio Optimization with AHP-based Prior Stock Selection,
Proceedings of the International Symposium on the Analitic Hierarchy
Process ISAHP 2011, pp. 60-62, Editors: F. De Felice, E. Esposito, A.
Petrillo, T.L. Saaty, Sorrento, Italy, June 15-18, 2011, ISSN: 1556-8296,
ISBN: 978-88-906147-0-5.
[34] Fulga, C., Single
Period Mean-risk Portfolio Rebalancing Model with a Hybrid Approach of the
Stock Selection Phase, The 19th Triennial Conference of the
International Federation of Operational Research Societies IFORS2011,
Melbourne, Australia, July 10-15, 2011.
[35] Fulga, C., Multi-Period
Portfolio Optimization, The 14th Conference of the Applied
Stochastic Models and Data Analysis International Society ASMDA 2011, Rome, Italy, June 7-10, 2011.
[36] Fulga, C., Risk-Return
Portfolio Optimization, The International Conference on Operations
Research OR 2011, Zurich, Switzerland, August 30 - September 2, 2011.
[37] Fulga, C., Multi-Agent
Systems Modeling and Management Based on a Decentralized/Cooperative
Optimization Technique, The 10th IEEE/WIC/ACM International Conference
on Intelligent Agent Technology, Lyon, France, August 22-27, 2011.
[38] Dedu, S.,
Fulga., C., Mean-risk portfolio optimization with prior stock selection
based on hierarchical clustering technique, The 25th IFIP TC 7 on
System Modeling and Optimization Conference, Berlin, Germany, September
12-16, 2011.
[39] Popescu, C-C,
Fulga, C., Chance constrained programming using polygonal type fuzzy
parameters with application in portfolio management, The 25th IFIP TC 7
on System Modeling and Optimization Conference, Berlin, Germany, September
12-16, 2011.
[40] Fulga, C., Optimal
Portfolio Selection with Disutility Based Risk Measure, The 25th IFIP
TC 7 on System Modeling and Optimization Conference, Berlin, Germany, September
12-16, 2011.
Organization of invited symposiums or special
sessions at international conferences in 2011
1)
Organization of
the Mini-symposium MS 13 within The 25th IFIP TC 7 Conference on System
Modeling and Optimization 2011: Advances
in risk management and optimization in finance
Mini-symposium
organizer: C. Fulga
Contributed talks
presented by C-C Popescu, S. Dedu, C. Fulga: [38], [39] and [40] from the
list.
2)
Organization of
the Invited Session: Operations
Research in Finance 2 (in the stream Finance) at the 19th Triennial Conference of the International
Federation of Operational Research Societies (IFORS 2011)
Invited session
organizer: C. Fulga
Contributed talk:
[34] from the list.
3)
Organization of
the Invited Session FA 17: Financial
modeling, risk management, banking (in the stream Investment decisions) at the International Conference of
Operations Research (OR 2011)
Invited session
organizer: C. Fulga
Contributed talk:
[36] from the list.
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