Publicaţii – rezultate ale
cercetării
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.
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, ISBN:
978-1-4244-6927-7, Publisher: IEEE
Computer Society, Computer Society Press, 2010.
http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=5609467
[12] Fulga, C.
(2010) Probabilităţi cu
aplicaţii în managementul portofoliilor, Editura ASE, Bucureşti, 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, Bucureşti.
Alte
activităţi prevăzute în Planul de Realizare al
proiectului pe 2010
1) Organizarea Sesiunii Speciale Decision
Making Modeling and Risk Assessment în cadrul conferinţei
The 4th International Conference on Economic Cybernetic Analysis: Global
Crisis Effects on Developing Economies, May 22-23, 2009 , Bucharest.
Organizator: Cristinca FULGA
În cadrul Sesiunii Speciale au fost
prezentate două lucrări ([7] si [8] din lista anterioară de
lucrări) ce reprezentau direcţiile de cercetare din 2009 ale
echipei proiectului.
2) Organizarea unui Scientifique Workshop Multicriteria
decision making modeling cu participarea membrilor Catedrei de
Matematică .
Organizator : Silvia DEDU
Data: 27 noiembrie 2009.
În cadrul Workshop-ului au fost
prezentate trei lucrări
([2], [3] şi [4] din lista anterioară de lucrări) ce
reprezintă direcţiile de cercetare din 2009 ale echipei proiectului.
3) Organizarea Sesiunii Speciale Decision
Making Modeling and Risk Assessment în cadrul conferinţei
The 5th International Conference on Economic Cybernetic Analysis:
Efficiency of Social and Economic Anti-Crisis Policies, May 14-15, 2010,
Bucharest.
Organizator: Cristinca FULGA
În cadrul Sesiunii Speciale au fost
prezentate două lucrări ([14] si [16] din lista anterioară
de lucrări) ce reprezentau două dintre direcţiile de
cercetare din 2010 ale echipei proiectului.
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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