Preface to the Special Issue on Multidimensional Finance, Insurance, and Investment

Abstract

In the literature, many researchers have investigated methods and procedures designed to solve problems in finance, insurance, and investment, formulated through analytical operational research models in a multidimensional framework that takes into consideration multiple conflicting and incommensurable decision objectives. To promote the development of multidimensionality within these research fields, the International Transactions in Operational Research has devoted a special issue to this subject. Topics of interest covered by this volume include: Multi-attribute portfolio selection, Multi-criteria decision aid in finance, Multiple objective programming in finance, Stochastic programming in finance, Option pricing, Portfolio analysis, Asset and liability management, Financial economics, Interest rate models, Bank management, Capital budgeting, Finance applications, Corporate governance, Insurance applications, Fuzziness and uncertainty in finance, Financial planning, and Financial engineering. This special issue attracted much interest and many submissions. After a rigorous peer review and selection process, we proudly announce that twenty-four papers have been included in this volume, covering a wide diversity of financial problems, application areas ranging from finance to insurance and investments, modelling, and solution methodologies. With more details, the following topics have been presented and discussed: volatility transmission analysis across international equity markets using multivariate fractional models; health insurance risk assessment using cognitive mapping and multiple criteria decision analysis; investment rating in commercial real estate; information game modelling in financial markets with multi-agent systems; efficiency of SRI and conventional mutual funds by a diversification-consistent DEA model; dynamics of social credit determinants using fuzzy cognitive mapping and system dynamics; measurement of multiscale dependence between Saudi and selected foreign stock markets using wavelets; volatility models using DEA; optimal strategies of contract-farming supply chain under the cooperative mode of bank-insurance; credit scoring methods in a decision support system of investment for peer-to-peer lending; the role of commodity futures in portfolio diversification; efficient frontier approximation with low-cardinality portfolios in the presence of the risk-free asset; penalty decomposition algorithms with greedy improvement for mean-reverting portfolios with sparsity and volatility constraints; bank performances under COVID‒19 using the inverse DEA efficiency approach; efficient credit portfolios under IFRS 9; firm ranking based on financial and diversity performance using multiple-stage un-weighted TOPSIS; sustainability efficiency and profitability efficiency in corporate social responsibility; omega portfolio models with dynamic return thresholds; multi-objective reference point techniques to optimize profitability-growth-risk in the non-life insurance industry; geometric compromise programming in portfolio selection; attractiveness index for foreign direct investments; crypto-assets in portfolio selection; augmented Lagrangean algorithms for optimal portfolio liquidation with market impact; and portfolio selection problem with real-world constraints under value-at-risk measure. We thank all colleagues and researchers who submitted their work for consideration and the anonymous reviewers whose work and suggestions were instrumental for completing the peer-review process and guaranteeing the quality of the accepted papers.