� WA-01Wednesday, 9:00 - 10:00Conference Hall

Opening

� WB-01Wednesday, 10:20 - 11:20Conference Hall

The Fundamental Quadrangle of Risk inOptimization and Estimation

Chair: Mehmet Cemali Dincer

1 - The fundamental quadrangle of risk in optimization and estimation

Terry Rockafellar

� WC-01Wednesday, 11:40 - 13:10CB101

Numerical Methods in Finance

Chair: Eleni G. Lisgara

1 - Comparison study of p-spline and univariate additive model (cubic smoothingspline) in time-series prediction

Akhlitdin Nizamitdinov, Memmedaga Memmedli, Ozer Ozdemir

2 - A new projection method for predicting time series points

Georgios I. Karolidis, Eleni G. Lisgara, George S. Androulakis

3 - Improvement of forecasting financial fuzzy time series by artificial neural networks

Ozer Ozdemir, Memmedaga Memmedli

4 - Entrapping a time series future optima using a combination of optimization tech-niques

Eleni G. Lisgara, Georgios I. Karolidis, George S. Androulakis

� WC-02Wednesday, 11:40 - 13:10M01

Convex and Non-convex Optimization I

Chair: Diethard Pallaschke

1 - On solving a class of nonconvex programs by means of parametric quadraticsemidefinite subproblems

Claudio Sodini, Riccardo Cambini

2 - Application of polars of convex sets to minimal upper exhausters

Jerzy Grzybowski, Mahide Kucuk, Yalcin Kucuk, Ryszard Urbanski

3 - Separating and shadowing of convex sets

Ryszard Urbanski, Jerzy Grzybowski, Diethard Pallaschke

4 - Pairs of compact convex sets

Diethard Pallaschke, Ryszard Urbanski

� WC-03Wednesday, 11:40 - 13:10A1

Stochastic Control Theory

Chair: Yeliz Yolcu Okur

1 - Optimal control of an m/m/s make-to-stock queue with multiple customer classesand lost sales

Murat Fadiloglu, Onder Bulut

2 - Necessary condition of optimality for stochastic switching systems

Aghayeva Cherkez

3 - Optimal stopping for asset management

Savas Dayanik

4 - Stochastic portfolio optimization in a market with jumps and presence of an insider

Yeliz Yolcu Okur

� WC-04Wednesday, 11:40 - 13:10C201

Artificial Intelligence in Supply Chains

Chair: Samir Rustamov

1 - Genetic algorithm approach for bandpass problem

Arif Gursoy, Murat Ersen Berberler

2 - Computing replenishment cycle policy parameters for a perishable item

Roberto Rossi, Armagan Tarim, Brahim Hnich, Steven Prestwich

3 - Fuzzy disaster relief planning with credibility measures

Burcu Ozcam Adivar, Ali Mert

4 - Construction principles of the speech understanding computer system

Samir Rustamov, Elshan Mustafayev

� WC-05Wednesday, 11:40 - 13:10A2

Data Mining I

Chair: Ayse Ozmen

1 - The use of bregman divergences in k-means clustering

Guvenc Arslan

2 - Linear seperability: quasisecant method and application to semi-supervised dataclassification

Burak Ordin, Nur Uylas

3 - The new robust cmars (rcmars) method

Ayse Ozmen, Gerhard-Wilhelm Weber, Inci Batmaz

4 - Novel approaches for solving clustering problems: hyperbolic smoothing and par-tition into boundary and gravitational regions

Adilson Elias Xavier, Vinicius Layter Xavier

� WD-01Wednesday, 14:30 - 15:30Conference Hall

HARA Frontiers in Portfolio Optimization

Chair: Mehmet Cemali Dincer

1 - HARA frontiers in portfolio optimization

Suleyman Ozekici

� WE-01Wednesday, 15:50 - 16:50Conference Hall

Solution Methods Based on ConicalSupporting Surfaces in NonconvexAnalysis and Applications in FinancialOptimization

Chair: Terry Rockafellar

1 - Solution methods based on conical supporting surfaces in nonconvex analysis

Refail Kasimbeyli, Abbas Azimli

� WE-02Wednesday, 15:50 - 16:50M01

Using Optimization for Solving DynamicCash Flow Matching Problems UnderUncertainty

Chair: Monique Pontier

1 - Using optimization for solving dynamic cash flow matching problems under uncer-tainty

Kenneth O Kortanek, Sineenart Porkaew

� WF-01Wednesday, 17:10 - 18:40C201

Multi-Objective Optimization I

Chair: Amirhosein Mosavi

1 - A new ranking method based on outranking relations

Yigit Kazancoglu, Ozgur Ozpeynirci, Selin Ozpeynirci

2 - A bi-objective max-min redundancy allocation problem and the preference-orderedclassification

Banu Soylu, Selda Kapan Ulusoy

3 - An interactive sorting method for additive utility functions

Selin Ozpeynirci, Murat Koksalan

4 - Multiobjective optimization package of ioso; applications and future trends

Amirhosein Mosavi

� WF-02Wednesday, 17:10 - 18:40M01

Modeling stock prices via deterministicand stochastic approach

Chair: Ceren Vardar

1 - Dynamics of asset price in homogeneous and heterogeneous groups

Meltem Alisen

2 - The effect of liquidity on the asset prices

Hatice Cakmak

3 - Robust investment decisions in oil markets

Ethem Canakoglu, Nalan Gulpinar

4 - The supremum, the infimum, maximum gain and maximum loss of Brownian mo-tion with drift

Ceren Vardar

� WF-03Wednesday, 17:10 - 18:40A1

Convex and Non-convex Optimization II

Chair: Eleftheria N. Malihoutsaki

1 - New optimization method of a quadratic program

Ahmed Chikhaoui

2 - Subgradient based solution approach for cell formation problem with alternativeroutes

Tugba Sarac, Feristah Ozcelik

3 - Solving the generalized quadratic multiple knapsack problem by using f-msg algo-rithm

Aydin Sipahioglu, Tugba Sarac

4 - A novel forecasting hybrid method for unconstrained optimization

Eleftheria N. Malihoutsaki, George S. Androulakis, Theodoula N. Grapsa

� WF-04Wednesday, 17:10 - 18:40CB101

Monitoring and Matching FinancialProjections

Chair: Nilay Noyan

1 - Dividend optimization for a jump diffusion model

Firdevs Ulus

2 - Mean variance asset allocation problem in jump diffusion markets

Ozge Sezgin Alp, Aysegul Iscanoglu Cekic

3 - Performance enhancements for defined benefit pension plans

Koray Simsek, John Mulvey

4 - Mathematical programming approaches for generating p-efficient points

Nilay Noyan, Miguel Lejeune

� TA-01Thursday, 8:30 - 10:00CB101

Applications of Theory and Methods tothe Financial Sector I

Chair: Suat Kasap

1 - Fuzzy MCDM approach of stocks evaluation and portfolio selection

Safak Kiris, Ozden Ustun

2 - How are the sector indexes are related to ise 100 index : an empirical study onistanbul stock exchange

Ebru Yuksel, Guldal Guleryuz

3 - Numerical solution of the black-scholes stochastic model by variational iterationmethod

Ameen Alawneh

4 - An intelligent trading system based on case based reasoning for ipo investments

Suat Kasap

� TA-02Thursday, 8:30 - 10:00A1

Global Optimization I

Chair: Gursel Suer

1 - An adaptive tabu search approach for buffer allocation problem in unreliable pro-duction lines

Leyla Demir, Semra Tunali, Deniz Tursel Eliiyi

2 - The new mathematical model for minimizing the waiting time in air-conditionerplant at vaillant demirdokum eskisehir

Orhan Kasimbeyli

3 - Marketing information systems (mis) as a tool for performance measurement inNigeria aluminium industry: operations research perspective

Joshua Magbagbeola

4 - A framework for multi-factor global supply chain design

Gursel Suer

� TA-03Thursday, 8:30 - 10:00M01

Optimal Control of Hybrid Systems I

Chair: Zakir Khankishiyev

1 - Numerical methods for multi-objective control problems

C Yalcin Kaya, Henri Bonnel

2 - Solution to a class of inverse problems with respect to discontinuous systems

Samir Guliyev, Arzu Baghirov

3 - Optimal control of a concentrated system with uncertain initial conditions and pa-rameters

Anar Rahimov

4 - On the transference of boundary conditions for a system of linear loaded differen-tial equations

Zakir Khankishiyev, Jamila Mamedova

� TA-04Thursday, 8:30 - 10:00C201

Multi-Objective Optimization II

Chair: Bijaya Krushna Mangaraj

1 - Assignment of transit container bookings for a transit agency

Arslan Ornek, Deniz Tursel Eliiyi, Zeynep Sargut, Cemalettin Ozturk

2 - A new combined approach based on AHP and qfd for prioritizing new technologiesin capability based long term defense planning

Birce Boga Bakirli, Emel Kizilkaya Aydogan, Cevriye Gencer

3 - Multi-objective portfolio management in financing water resources projects: a casestudy

Bijaya Krushna Mangaraj

� TA-05Thursday, 8:30 - 10:00A2

Option Pricing

Chair: Masao Fukushima

1 - A new external control variate method for discrete barrier options

Kemal Dincer Dingec, Wolfgang Hormann

2 - Discrete-time pricing and optimal exercise for perpetual American options

Mustafa Pinar

3 - Asset replacement policies under an uncertain tax environment

Joao Zambujal-Oliveira

4 - Stochastic complementarity approaches for pricing American options

Masao Fukushima, Kenji Hamatani

� TB-01Thursday, 10:20 - 11:20Conference Hall

The Critical Nodes Detection Problem inNetworks

Chair: Adil Bagirov

1 - The critical nodes detection problem in networks

Panos Pardalos

� TC-01Thursday, 11:40 - 13:10A2

Packing Problems

Chair: Ali Ekici

1 - A variant of the bin packing problem

Nazahet Fellah, Meziane Aıder

2 - A fuzzy perspective for two-dimensional packing of variable-sized items

Ugur Eliiyi, Efendi Nasibov

3 - Algorithms with guarantee value for bounded knapsack problems

Asli Guler, Fidan Nuriyeva

4 - 1.5-dimensional rectangle packing and applications in the semiconductor industry

Ali Ekici, Pinar Keskinocak, Bulent Basaran

� TC-02Thursday, 11:40 - 13:10M01

Convex and Non-convex Optimization III

Chair: Adil Bagirov

1 - Concurrent search algorithms for unconstrained optimization

Figen Oztoprak, S. Ilker Birbil

2 - Truncated codifferential method for linearly constrained nonsmooth optimization

Ali Hakan Tor, Bulent Karasozen, Adil Bagirov

3 - Solving the quadratic knapsack problem using the linearized version of msg algo-rithm

Nergiz Kasimbeyli, Tugba Sarac, Refail Kasimbeyli

4 - Descent methods in nonsmooth nonconvex optimization

Adil Bagirov

� TC-03Thursday, 11:40 - 13:10CB101

Applications of Theory and Methods tothe Financial Sector II

Chair: Aladdin Shamilov

1 - A stochastic model for stock prices

Nihal Bahtiyar

2 - Maximum entropy modeling based on parameters in time series

Cigdem Giriftinoglu, Aladdin Shamilov

3 - Self-similar model in agent-based modeling.

Vadym Omelchenko

4 - Information worth of autocovariances in time series and its applications

Aladdin Shamilov, Cigdem Giriftinoglu

� TC-04Thursday, 11:40 - 13:10A1

Global Optimization II

Chair: Erhun Kundakcioglu

1 - Simultaneous balancing and scheduling of flexible mixed model assembly lineswith sequence dependent task time increments

Cemalettin Ozturk, Semra Tunali, Brahim Hnich, Arslan Ornek

2 - A mixed-integer programming approach for a case study in university timetabling

Reis Ilbay Yilmaz, Melih Ece, Huseyin Ozbil, Seyma Tiryakioglu

3 - Optimal course-classroom assignments for minimizing student and instructorflows in a university campus

Muhittin Hakan Demir, Ozgur Ozpeynirci, Koray Yalcintepe

4 - A mathematical model for perishable products with price- and stock-dependentdemand

Erhun Kundakcioglu, Arda Yenipazarli

� TD-01Thursday, 14:30 - 15:30Conference Hall

A Contribution to Duality Theory, Appliedto the Measurement of Risk Aversion

Chair: Musa Mammadov

1 - A contribution to duality theory, applied to the measurement of risk aversion

Juan Enrique Martınez-Legaz

� TE-01Thursday, 15:50 - 16:50M01

Risk Measures: Time Consistencyversus Information Monotonicity

Chair: Mustafa Pinar

1 - Risk measures: time consistency versus information monotonicity

Georg Pflug

� TE-02Thursday, 15:50 - 16:50Conference Hall

Regression Models with IncreasingNumbers of Unknown Parameters.Control by Queues with ComplicatedStructure.

Chair: Arslan Ornek

1 - Regression models with increasing numbers of unknown parameters. control byqueues with complicated structure.

Asaf Hajiyev

� TF-01Thursday, 17:10 - 18:40M01

Optimal Control of Hybrid Systems II

Chair: Kamil Aida-zade

1 - Asymptotical stability of trajectories in optimal control problems with time delay

Musa Mammadov

2 - Optimal quick-action control problem for hyperbolic systems

Gasim Gasimov, Jamila Asadova

3 - Financial processes: identification, optimization and bubbles - new unified ap-proaches

Gerhard-Wilhelm Weber, Efsun Kurum

4 - Optimization of the boundary of a domain and of the completion time of controlprocesses for systems with distributed parameters

Kamil Aida-zade, Yegana Ashrafova

� TF-02Thursday, 17:10 - 18:40A2

Data Mining II

Chair: Theodore Trafalis

1 - Analysis of effect of different feature classes in learning systems

Elviz Ismayilov, Nigar Aliyeva

2 - Support vector machines applied to multivariate processes

Theodore Trafalis, Robin Gilbert

3 - A comparison between allophone, syllable and diphone based tts systems for azer-baijan language

Aida Sharifova

4 - Support vector machines applied to natural gas price prediction

Theodore Trafalis, Yinan Hu

� TF-03Thursday, 17:10 - 18:40A1

Global Optimization III

Chair: Nils Langenberg

1 - A column generation approach for the mixed vrp

R. Aykut Arapoglu

2 - An approach to minimize function evaluations in global optimization

Tomi Haanpaa, Timo Aittokoski, Kaisa Miettinen, Jussi Hakanen

3 - Allocating proposals to reviewers using branch and price algorithm

Ozgur Ozpeynirci

4 - Pseudomonotone operators and the bregman proximal point algorithm

Nils Langenberg

� TF-04Thursday, 17:10 - 18:40C201

Credit Risk and Credit Rating

Chair: Jian-Jun Shu

1 - Multicriteria approach to solve the rating problem

Abbas Moncef

2 - Bankruptcy prediction

Zeynep Topaloglu

3 - Risk assessment of a micro-insurance portfolio

Kasirga Yildirak, Sevtap Kestel

4 - Insured financial options

Jian-Jun Shu

� TF-05Thursday, 17:10 - 18:40CB101

Stochastic Modeling of Financial Marketsand Derivatives

Chair: Gerhard-Wilhelm Weber

1 - Market quality and insider trading on an experimental capital market

Gernot Hinterleitner, Philipp Hornung

2 - Investigation of the convergence of method of lines while solving a problem oflinear loaded differential equation of parabolic type

Zakir Khankishiyev, Chinara Julfayeva

3 - Neural-networks for stochastic processes

Stefan Markus Giebel, Martin Rainer

4 - Libor forward rate simulation in practice

Martin Rainer, Omur Ugur

� FA-01Friday, 8:30 - 10:00M01

Optimal Control of Hybrid Systems III

Chair: Anar Rahimov

1 - Optimization of transient processes in oil and gas pipelines

Kamil Aida-zade, Jamila Asadova

2 - Maximum principle for one optimal control problem

Shahlar Maharramov, Stephan Dempe, Merve Sengul, Ece Gurbuz

3 - Optimal stabilization problem for the oscillation process of an elastic rod

Rashad Mammadov

4 - Optimal control for systems on the given classes of control functions

Anar Rahimov, Yegana Ashrafova

� FA-02Friday, 8:30 - 10:00CB101

Applications of Theory and Methods tothe Financial Sector III

Chair: Janos Pinter

1 - Portfolio optimization with shortage function and higher order moments :an appli-cation in the istanbul stock exchange

Ali Sabri Taylan, Huseyin Tatlidil

2 - Multi-factor hedging of bond portfolios: an application of nelson-siegel and svens-son models

Emrah Sener, Nicos Christofides, Turalay Kenc

3 - Development of currency market strategies by global optimization

Mustafa Caglayan, Janos Pinter

4 - Real options, optimal stopping and free-boundary problem

Alexandr Slastnikov, Vadim Arkin

� FA-03Friday, 8:30 - 10:00C201

Stochastic Programming

Chair: Mahmoud Alrefaei

1 - Parameter estimation in stochastic differential equations

Cigdem Guleroglu, Gerhard-Wilhelm Weber, Pakize Taylan, Kasirga Yildirak

2 - Investigation of the lower boundary functional of a semi-markovian random walkwith negative drift and positive jumps

Elshan Ibayev, Tamilla Nasirova

3 - A hybrid reliability model for imperfect preventive maintenance planning

Deniz Tursel Eliiyi, Selma Gurler

4 - A balanced algorithm for continuous stochastic optimization

Mahmoud Alrefaei

� FA-04Friday, 8:30 - 10:00A2

Data Mining III

Chair: Nigar Aliyeva

1 - An attribute reduction algorithm based on fuzzy rough set

Emel Kizilkaya Aydogan, Cevriye Gencer, Bekir Agirgun

2 - Forecasting with the aid of hybrid models, combining neural networks and non-parametric regression models in time series

Dursun Aydin, Memmedaga Memmedli

3 - The comparisons of prediction techniques of polyanalyst with different data setsby the predictive accuracy

Feyza Gurbuz

4 - Spline membership functions of l-r type fuzzy numbers and analysis their applying

Nigar Aliyeva, Elviz Ismayilov

� FA-05Friday, 8:30 - 10:00A1

Optimal Portfolio Management

Chair: Roy Cerqueti

1 - Using second order stochastic dominance for enhanced indexation

Diana Roman

2 - Ranking of extreme and non-extreme efficient DMUs in DEA

Shabnam Razavyan, Ghaesm Tohidi

3 - Efficiencies of Turkish banks by means of DEA in economic crisis

Sermet Anagun, Abdullah Korkut Ustun

4 - Thinly traded stocks and wealth allocation

Roy Cerqueti, Rosella Castellano

� FB-01Friday, 10:20 - 11:20Conference Hall

Equilibrium Pricing in IncompleteMarkets under Translation InvariantPreferences

Chair: Masao Fukushima

1 - Equilibrium pricing in incomplete markets under translation invariant preferences

Ulrich Horst

� FC-01Friday, 11:40 - 13:10CB101

Applications of Theory and Methods tothe Financial Sector IV

Chair: Nina Kajiji

1 - Bayesian credit scoring model with integration of expert knowledge and customerdata

Isik Bicer, Deniz Sevis, Taner Bilgic

2 - Toward the theory of systemic risk forecasting

Thomas Rhee

3 - Stochastic MCDA and ai in continuous automated trading for wealth maximization

Nina Kajiji, Gordon Dash

� FC-02Friday, 11:40 - 13:10C201

Multi-Objective Optimization III

Chair: Fabian Flores-Bazan

1 - A nonlinear separation theorem in nonconvex vector optimization

Abbas Azimov, Gulder Kemalbay

2 - Vector optimization with infimum and supremum

Andreas Lohne

3 - On criteria for efficiency in vector optimization

Francisco Guerra-Vazquez, Hubertus Th. Jongen, Vladimir Shikhman, Maxim Todorov

4 - A unification of vector optimization problems: complete scalarization and optimal-ity conditions

Fabian Flores-Bazan, Elvira Hernandez

� FC-03Friday, 11:40 - 13:10A1

Convex Relaxation of EngineeringProblems

Chair: Mohammad Reza Peyghami

1 - A nonmonotone trust region method with automatically adjusted radius for uncon-strained optimization

Keyvan Amini

2 - Full-newton-step interior-point methods for linear optimization based on locallyself-concordant barrier functions

Kees Roos

3 - Multi objective integer linear programs (moilp) with unbounded feasible region

Ghaesm Tohidi, Shabnam Razavyan

4 - An approach based on conic optimization and Monte Carlo technique for time-costtrade-off problem

Mohammad Reza Peyghami

� FC-04Friday, 11:40 - 13:10A2

Financial Dynamics and Identification

Chair: Gerhard-Wilhelm Weber

1 - An approximation method for the sum of log-normal distributions and its usage inoption pricing

Serkan Zeytun, Ralf Korn

2 - Properties of popular guarantee products and portfolio strategies

Aysegul Iscanoglu Cekic, Ralf Korn, Omur Ugur

3 - Modeling of an insurance system and its large deviations analysis

Devin Sezer

4 - On cooperative ellipsoidal games

Sirma Zeynep Alparslan Gok, Gerhard-Wilhelm Weber, Mariana Rodica Branzei

� FC-05Friday, 11:40 - 13:10M01

Convex and Non-convex Optimization IV

Chair: Nicole Lorenz

1 - The properties of the radial epiderivatives and the weak subdifferentials

Gonca Inceoglu, Refail Kasimbeyli

2 - Lower semicontinuous type regularity conditions for subdifferential calculus

Sorin-Mihai Grad, Radu Ioan Bot

3 - A procedure improving interior point algorithm for the linear programming

Elamir Djeffal

4 - Optimality conditions for portfolio optimization problems

Nicole Lorenz

� FD-01Friday, 14:30 - 15:30Conference Hall

Managing a Fixed-Income Portfolio

Chair: Gerhard-Wilhelm Weber

1 - Managing a fixed-income portfolio

Roger Wets

� FE-01Friday, 15:50 - 16:50A1

Global Optimization IV

Chair: Regina Burachik

1 - On multiple response optimization: desirability functions and artificial neural net-works

Cem Bas, Guvenc Arslan

2 - A class of piecewise-smooth functions motivated by desirability functions

Basak Akteke-Ozturk, Gerhard-Wilhelm Weber, Gulser Koksal

3 - Production planning and control at an integrated poultry organization

Mahmut Ali Gokce, Tugce Gordesli, Burak Gokgur, Erkan Er, Emre Elverdi

4 - A primal dual deflected subgradient algorithm with sharp lagrangian

Regina Burachik

� FE-02Friday, 15:50 - 16:50A2

Robust Optimization

Chair: Antanas Zilinskas

1 - New approach to interval linear regression

Milan Hladik

2 - Parameter interval estimations through chebyshev- type inequalities for nonlinearregression models

Atif Evren

3 - On global optimization in nonlinear least squres regression

Antanas Zilinskas, Julius Zilinskas

� FE-03Friday, 15:50 - 16:50M01

Optimal Control of Hybrid Systems IV

Chair: Saftar Huseynov

1 - Continuous nonlinear optimal control model for refinery scheduling

Joao Lauro D. Faco’, Fabio Fagundez, Adilson Elias Xavier

2 - Numerical solution to a parametrical identification problem for quasi-linear equa-tions

Samir Guliyev, Reshad Ismibeyli

3 - Numerical solution to the optimal speed-in-action problem for a heat conductionprocess with phase constraints

Saftar Huseynov

� FE-04Friday, 15:50 - 16:50CB101

Convex Optimization Relaxations forNP-hard Practical Problems

Chair: Alireza Ghaffari-Hadigheh

1 - Improving in rlt-1 for the quadratic three-dimensional problem

Saber Jalilzadeh-Galaeh

2 - On the accuracy of uniform polyhedral approximations of the copositive cone

E. Alper Yildirim

3 - Further developments in semidefinite relaxation for domination number of graphs

Alireza Ghaffari-Hadigheh, Behzad Ashayeri

� FF-01Friday, 17:10 - 17:40Conference Hall

Closing