Available online at www.sciencedirect.com gl science @oinecr: OF OPERATIONAL RESEARCH European Journal of Operational Research 163 (2005) 857-859 www.elsevier.com/locate/dsw Contents Volume 163 Editorial: Financial modelling and risk management R.L. D’Ecclesia Measures of risk G. Szego How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule M.D. Hayford and A.G. Malliaris The LIBOR model dynamics: Approximations, calibration and diagnostics D. Brigo, F. Mercurio and M. Morini On pricing of credit spread options R. Giacometti and M. Teocchi An integrated pricing model for defaultable loans and bonds M. Onorato and E.I. Altman Credit risk analysis of mortgage loans: An application to the Italian market C. Mari and R. Reno The informational content of subordinated debt and equity prices in the presence of bankruptcy costs E. Nivorozhkin Runs tests for assessing volatility forecastability in financial time series F. Bellini and G. Figa-Talamanca Optimal portfolio selection and dynamic benchmark tracking A.A. Gaivoronski, S. Krylov and N. van der Wijst Speculative trading in mean reverting markets G. Carcano, P. Falbo and S. Stefani Testing robustness in calibration of stochastic volatility models M.L. Guerra and L. Sorini | Extensions of the Ho and Lee interest-rate model to the multinomial case J. Abaffy, M. Bertocchi and A. Gnudi Indeterminacy in portfolio selection M.R. Simonelli Hedging effectiveness of stock index futures J. Laws and J. Thompson The pricing of options on an interval binomial tree. An application to the DAX-index option market S. Muzzioli and C. Torricelli A GARCH option pricing model with «-stable innovations C. Menn and S.T. Rachev Functional data analysis for clients segmentation tasks A. Laukaitis and A. Rackauskas doi:10.1016/S0377-2217(04)00727-1 Contents Volume 163 Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach D. Barro and E. Canestrelli Selecting an optimal portfolio of consumer loans by applying the state preference approach F.M. Paris The Asian crisis and calendar effects on stock returns in Thailand K. Holden, J. Thompson and Y. Ruangrit Bad news and Dow Jones make the Spanish stocks go round N. Blasco, P. Corredor, C. Del Rio and R. Santamaria Theory of portfolios: New considerations on classic models and the Capital Market Line S. Cruz Rambaud, J. Garcia Pérez, M.A. Sanchez Granero and J.E. Trinidad Segovia Book review Following the traces: An introduction to conjoint measurement without transitivity and additivity D. Bouyssou and M. Pirlot Rank inclusion in criteria hierarchies A. Salo and A. Punkka Representing the strengths and directions of pairwise comparisons D. Hartvigsen A decisiveness index for simple games F. Carreras Providing support for decisions based on time series information under conditions of asymmetric loss P. Goodwin Understanding local ignorance and non-specificity within the DS/AHP method of multi-criteria decision making M.J. Beynon Uneven allocation of elements in linear multi-state sliding window system G. Levitin Parametric nonlinear programming approach to fuzzy queues with bulk service S.-P. Chen Optimal burn-in time to minimize the cost for general repairable products sold under warranty S.-H. Sheu and Y.-H. Chien On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds K. Pendaraki, C. Zopounidis and M. Doumpos A unified framework for approximation of general telecommunication networks M. Vroblefski, R. Ramesh and S. Zionts Design for optimized multi-lateral multi-commodity markets B. Bourbeau, T.G. Crainic, M. Gendreau and J. Robert Optimal pricing and quantity of products with two offerings M. Khouja and S.S. Robbins Allocation of attention within venture capital firms D.A. Shepherd, M.J. Armstrong and M. Lévesque A note on invex problems with nonnegative variable M. Galewski Open shops with jobs overlap—revisited J.Y.-T. Leung, H. Li, M. Pinedo and C. Sriskandarajah Contents Volume 163 859 573 Editorial—in honour of Bernhard Fleischmann H. Stadtler, T.G. de Kok and H. Meyr 575 Supply chain management and advanced planning—basics, overview and challenges H. Stadtler 589 Supply chain management in forestry—case studies at Sddra Cell AB D. Carlsson and M. Ronnqvist 617 Integrating process optimization and inventory planning in cutting-stock with skiving option: An optimization model and its application C. Arbib and F. Marinelli 631 Shipment planning at oil refineries using column generation and valid inequalities J.A. Persson and M. Géthe-Lundgren 653 Optimal shared-savings contracts in supply chains: Linear contracts and double moral hazard C.J. Corbett, G.A. DeCroix and A. Y. Ha 668 Negotiation-based collaborative planning between supply chains partners G. Dudek and H. Stadtler 688 The effect of remanufacturing on procurement decisions for resellers in secondary markets A. Robotis, S. Bhattacharya and L.N. Van Wassenhove 706 Linear programming models with planned lead times for supply chain operations planning J.M. Spitter, C.A.J. Hurkens, A.G. de Kok, J.K. Lenstra and E.G. Negenman 721 An analytical study of the Q/s,S) policy applied to the joint replenishment problem C. Nielsen and C. Larsen 733 Using repair priorities to reduce stock investment in spare part networks A. Sleptchenko, M.C. van der Heijden and A. van Harten 751 An alternative to safety stock policies for multi-level rolling schedule MRP problems N. Dellaert and J. Jeunet 769 Value at risk and inventory control C.S. Tapiero 776 An EOQ model for perishable items under stock-dependent selling rate and time-dependent partial backlogging C.-Y. Dye and L.-Y. Ouyang 784 Factors which influence decision making in new product evaluation M. Ozer 802 A model for analyzing multi-channel distribution systems A. Alptekinoglu and C.S. Tang 825 Manufacturing lead-time rules: Customer retention versus tardiness costs S.A. Slotnick and M.J. Sobel 857 Contents Volume 163