Research Output 1969 2020

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2019

Using column generation to solve extensions to the Markowitz model

Roebers, L., Selvi, A. & Vera Lizcano, J., Jul 2019, In : The Engineering Economist. 64, 3, p. 275-288

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Column Generation
Portfolio Optimization
Optimization Problem
Cardinality Constraints
Portfolio Selection
16 Downloads (Pure)
Open Access
File
Hypercube
Polynomials
Polynomial
Optimization
Convergence Rate
2018

A continuous updating weighted least squares estimator of tail dependence in high dimensions

Einmahl, J. H. J., Kiriliouk, A. & Segers, J., 1 Jun 2018, In : Extremes. 21, 2, p. 205-233

Research output: Contribution to journalArticleScientificpeer-review

Weighted Least Squares Estimator
Tail Dependence
Higher Dimensions
Updating
Estimator

Adjustable robust optimization via Fourier-Motzkin elimination

Zhen, J., den Hertog, D. & Sim, M., Jul 2018, In : Operations Research. 66, 4, p. 1086-1100

Research output: Contribution to journalArticleScientificpeer-review

Linear programming
Robust optimization
Optimization problem
Lenses
Decision rules

A new approximation method for the Shapley value applied to the WTC 9/11 terrorist attack

van Campen, T., Hamers, H., Husslage, B. & Lindelauf, R., Dec 2018, In : Social Network Analysis and Mining. 8, 1, 12 p., 3.

Research output: Contribution to journalArticleScientificpeer-review

Open Access

A note on the long rate in factor models of the term structure

de Kort, J., Apr 2018, In : Mathematical Finance. 28, 2, p. 656-667

Research output: Contribution to journalArticleScientificpeer-review

Term Structure
Factor Models
Flatten
Volatility
Filtration
119 Downloads (Pure)

A numerical evaluation of the bounded degree sum-of-squares hierarchy of Lasserre, Toh, and Yang on the pooling problem

Marandi, A., Dahl, J. & de Klerk, E., Jun 2018, In : Annals of Operations Research. 265, 1, p. 67-92

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Evaluation
Pooling
Lower bounds
Optimization problem
Programming

Bankruptcy games with nontransferable utility

Dietzenbacher, B., Mar 2018, In : Mathematical Social Sciences. 92, p. 16-21

Research output: Contribution to journalArticleScientificpeer-review

Bankruptcy
bankruptcy
Game
NTU Games
compromise

Bias-corrected quantile regression estimation of censored regression models

Cizek, P. & Sadikoglu, S., 2018, In : Statistical Papers. 59, p. 215–247 33 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Censored Regression
Quantile Estimation
Regression Estimation
Quantile Regression
Regression Model

Bounds on entanglement dimensions and quantum graph parameters via noncommutative polynomial optimization

Gribling, S., de Laat, D. & Laurent, M., Jul 2018, In : Mathematical Programming . 170, 1, p. 5-42

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Quantum Graphs
Entanglement
Polynomials
Polynomial
Optimization
78 Downloads (Pure)

Comparison of Lasserre's measure-based bounds for polynomial optimization to bounds obtained by simulated annealing

de Klerk, E. & Laurent, M., Nov 2018, In : Mathematics of Operations Research. 43, 4, p. 1317-1325

Research output: Contribution to journalArticleScientificpeer-review

File
Simulated annealing
Simulated Annealing
Polynomials
Polynomial
Optimization

Computing near-optimal Value-at-Risk portfolios using integer programming techniques

Babat, O., Vera, J. C. & Zuluaga, L. F., 1 Apr 2018, In : European Journal of Operational Research. 266, 1, p. 304-315

Research output: Contribution to journalArticleScientificpeer-review

Value at Risk
Integer programming
Integer Programming
Reward
Computing

Computing the maximum volume inscribed ellipsoid of a polytopic projection

Zhen, J. & den Hertog, D., Jan 2018, In : INFORMS Journal on Computing. 30, 1, p. 31-42

Research output: Contribution to journalArticleScientificpeer-review

Color
Approximation
Optimization techniques
Optimal solution
Robust optimization

Cospectral mates for the union of some classes in the Johnson association scheme

Cioabă, S. M., Haemers, W. H., Johnston, T. & McGinnis, M., 15 Feb 2018, In : Linear Algebra and its Applications. 539, p. 219-228

Research output: Contribution to journalArticleScientificpeer-review

Association Scheme
Union
Subset
Graph in graph theory
Adjacent

Deciding robust feasibility and infeasibility using a set containment approach: An application to stationary passive gas network operations

Aßmann, D., Liers, F., Stingl, M. & Vera, J. C., Sep 2018, In : SIAM Journal on Optimization. 28, 3, p. 2489-2517

Research output: Contribution to journalArticleScientificpeer-review

Infeasibility
Polynomials
Polynomial
Gases
Absolute value

Directed strongly walk-regular graphs

van Dam, E. & Omidi, G. R., 1 Jun 2018, In : Journal of Algebraic Combinatorics. 47, 4, p. 623–639

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Regular Graph
Walk
Digraph
Eigenvalue
Adjacency Matrix

Effects of debt mutualization in a monetary union with endogenous risk premia: Can Eurobonds contribute to debt stabilization?

van Aarle, B., Engwerda, J. & Weeren, A. J. T. M., Mar 2018, In : Structural Change and Economic Dynamics. 44, p. 100-114

Research output: Contribution to journalArticleScientificpeer-review

Eurobonds
Debt
Endogenous risk
Stabilization
Monetary union

Efficient estimation with time-varying information and the New Keynesian Phillips Curve

Antoine, B. & Boldea, O., Jun 2018, In : Journal of Econometrics. 204, 2, p. 268-300

Research output: Contribution to journalArticleScientificpeer-review

Efficient estimation
Time-varying
New Keynesian Phillips curve
Identification problem
Moment conditions

Eliciting subjective survival curves: Lessons from partial identification

Bissonnette, L. & de Bresser, J., Sep 2018, In : Journal of Business & Economic Statistics. 36, 3, p. 505—515

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Partial Identification
Rounding
Curve
Interpolate
Partially Linear Model

Extended antipodal theorems

Kalashnikov, V. V., Talman, D., Alanis-Lopez, L. & Kalashnykova, N. I., May 2018, In : Journal of Optimization Theory and Applications. 177, 2, p. 399-412

Research output: Contribution to journalArticleScientificpeer-review

Triangulation
Star-shaped Set
Stars
Optimization Theory
Fixed point

Funded pensions and economic growth

Bijlsma, M., Bonekamp, J., van Ewijk, C. & Haaijen, F., Sep 2018, In : De Economist. 166, 3, p. 337-362

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Economic growth
Pensions
External finance
Capital markets
Banking crisis

Graph bisection revisited

Sotirov, R., Jun 2018, In : Annals of Operations Research. 265, 1, p. 143-154

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Graph
Semidefinite programming
Valid inequalities
Partitioning

Guilt and voting in public good games

Rothenhäusler, D., Schweizer, N. & Szech, N., Jan 2018, In : European Economic Review. 101, p. 664-681

Research output: Contribution to journalArticleScientificpeer-review

Guilt
Voting
Costs
Prediction
Causal effect
27 Downloads (Pure)
Open Access
File
language
Gesture
Bimodal
Co-speech Gestures
time

Hysteresis due to irreversible exit: Addressing the option to mothball

Guerra, M., Kort, P., Nunes, C. & Oliveira, C., Jul 2018, In : Journal of Economic Dynamics & Control. 92, p. 69-83

Research output: Contribution to journalArticleScientificpeer-review

Identification and estimation of nonseparable single-index models in panel data with correlated random effects

Cizek, P. & Lei, J., Mar 2018, In : Journal of Econometrics. 203, 1, p. 113-128

Research output: Contribution to journalArticleScientificpeer-review

Random effects
Estimator
Panel data
Index model
Derivatives

Individual heterogeneity and pension choices: Evidence from Italy

Gallo, G., Torricelli, C. & van Soest, A., Apr 2018, In : Journal of Economic Behavior & Organization. 148, p. 260-281

Research output: Contribution to journalArticleScientificpeer-review

Italy
Employees
Pensions
Pension funds
Participation

Informal caregiving, employment status and work hours of the 50+ population in Europe

Ciccarelli, N. & van Soest, A., Sep 2018, In : De Economist. 166, 3, p. 363-396

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Employment status
Hours of work
Caregiving
Informal care
Work hours

Laplacian spectral characterization of roses

He, C. & van Dam, E., 1 Jan 2018, In : Linear Algebra and its Applications. 536, p. 19-30

Research output: Contribution to journalArticleScientificpeer-review

Graph in graph theory
Laplacian Spectrum
Laplacian Matrix
Adjacency Matrix
Disjoint

On analyzing cost allocation problems: Cooperation building structures and order problem representations

Kleppe, J., Borm, P., Hendrickx, R. & Reijnierse, H., 2018, In : International Game Theory Review. 20, 1850007.

Research output: Contribution to journalArticleScientificpeer-review

Cost Allocation
Costs
Cost functions
Traveling salesman problem
Cost Function

On solving mutual liability problems

Schaarsberg, M. G., Reijnierse, H. & Borm, P., Jun 2018, In : Mathematical Methods of Operations Research. 87, 3, p. 383-409

Research output: Contribution to journalArticleScientificpeer-review

Open Access

On the convexity of step out - Step in sequencing games

Musegaas, M., Borm, P. & Quant, M., Apr 2018, In : Top . 26, 1, p. 68-109

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Sequencing
Convexity
Game
Coalitions
Processing

Optimal revelation of life-changing information

Schweizer, N. & Szech, N., Nov 2018, In : Management Science. 64, 11, p. 5250-5262

Research output: Contribution to journalArticleScientificpeer-review

Optimal test
Disposition
Probability weighting

Partially metric association schemes with a multiplicity three

van Dam, E., Koolen, J. H. & Park, J., 1 May 2018, In : Journal of Combinatorial Theory, Series B, Graph theory. 130, p. 19-48

Research output: Contribution to journalArticleScientificpeer-review

Association Scheme
Multiplicity
Metric
Graph in graph theory
Arc of a curve

Pathwise dynamic programming

Bender, C., Gärtner, C. & Schweizer, N., Aug 2018, In : Mathematics of Operations Research. 43, 3, p. 965-995

Research output: Contribution to journalArticleScientificpeer-review

Dynamic programming
Dynamic Programming
Recursion
Stochastic Dynamic Programming
Costs

Perturbation theory for Markov chains via Wasserstein distance

Rudolf, D. & Schweizer, N., Nov 2018, In : Bernoulli. 24, 4A, p. 2610-2639

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Wasserstein Distance
Perturbation Theory
Markov chain
Metropolis-Hastings
Markov Chain Monte Carlo Algorithms

Robust estimation and moment selection in dynamic fixed-effects panel data models

Cizek, P. & Aquaro, M., Jun 2018, In : Computational Statistics. 33, 2, p. 675–708

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Fixed Effects
Robust Estimation
Panel Data
Data Model
Data structures

Robust optimization with ambiguous stochastic constraints under mean and dispersion information

Postek, K., Ben-Tal, A., den Hertog, D. & Melenberg, B., May 2018, In : Operations Research. 66, 3, p. 814-833

Research output: Contribution to journalArticleScientificpeer-review

Random variables
Computational complexity
Robust optimization
Upper bound

Serious strategy for the makers of fun: Analyzing the option to switch from pay-to-play to free-to-play in a two-stage optimal control model with quadratic costs

Seidl, A., Caulkins, J. P., Hartl, R. F. & Kort, P., Jun 2018, In : European Journal of Operational Research. 267, 2, p. 700-715

Research output: Contribution to journalArticleScientificpeer-review

Switch
Optimal Control
Video Games
Business Model
Switches

Signed graphs cospectral with the path

Akbari, S., Haemers, W. H., Maimani, H. R. & Parsaei Majd, L., 15 Sep 2018, In : Linear Algebra and its Applications. 553, p. 104-116

Research output: Contribution to journalArticleScientificpeer-review

Signed Graph
Path
Isomorphic
If and only if

Solving sparse polynomial optimization problems with chordal structure using the sparse bounded-degree sum-of-squares hierarchy

de Klerk, E., Marandi, A. & Dahl, J., 2018, In : Discrete Applied Mathematics.

Research output: Contribution to journalArticleScientificpeer-review

Sparse Polynomials
Degree Sum
Sum of squares
Polynomials
Optimization Problem

Special cases of the quadratic shortest path problem

Sotirov, R. & Hu, H., Apr 2018, In : Journal of Combinatorial Optimization. 35, 3, p. 754-777

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Shortest Path Problem
Costs
Digraph
Polynomials
Path

Stabilization of an uncertain simple fishery management game

Engwerda, J., Jul 2018, In : Fisheries Research. 203, p. 63-73

Research output: Contribution to journalArticleScientificpeer-review

fishery management
stabilization
active control
valuation
fish

Structural break tests robust to regression misspecification

Abi Morshed, A., Andreou, E. & Boldea, O., Jun 2018, In : Econometrics. 6, 2, 39 p., 27.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Misspecification
Structural break tests
Wald test
Interest rates
Size distortion

The effect of retirement on healthcare utilization: Evidence from China

Zhang, Y., Salm, M. & van Soest, A., Nov 2018, In : Journal of Health Economics. 62, p. 165-177

Research output: Contribution to journalArticleScientificpeer-review

Open Access
China
Delivery of Health Care
Developed Countries
Inpatients
Education

The min-cut and vertex separator problem

Rendl, F. & Sotirov, R., Jan 2018, In : Computational Optimization and Applications. 69, 1, p. 159-187

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Min-cut
Separator
Separators
Quadratic programming
Graph in graph theory

Three-valued simple games

Musegaas, M., Borm, P. E. M. & Quant, M., Aug 2018, In : Theory and Decision. 85, 2, p. 201-224

Research output: Contribution to journalArticleScientificpeer-review

Open Access

Very simple Markov‐Perfect industry dynamics: Theory

Abbring, J., Campbell, J., Tilly, J. & Yang, N., 31 Mar 2018, In : Econometrica. 86, 2, p. 721-735

Research output: Contribution to journalArticleScientificpeer-review

Industry dynamics
Contraction mapping
Firm entry
Exit
Entry costs

What they say and what they do: Comparing physical activity across the USA, England and the Netherlands

Kapteyn, A., Banks, J., Hamer, M., Smith, J. P., Steptoe, A., van Soest, A., Koster, A. & Htay Wah, S., Jun 2018, In : Journal of Epidemiology and Community Health. 72, 6, p. 471-476

Research output: Contribution to journalArticleScientificpeer-review

Open Access
England
Netherlands
Self Report
Exercise
Wrist