Browsing Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance by Author "Topaloglou, Nikolas"

Now showing items 1-9 of 9

    • Book Chapter  

      Controlling Currency Risk with Options or Forwards 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (Springer, 2007)
    • Book Chapter  

      Controlling currency risk with options or forwards 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (Springer International Publishing, 2008)
    • Article  

      CVaR models with selective hedging for international asset allocation 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2002)
      We develop an integrated simulation and optimization framework for multicurrency asset allocation problems. The simulation applies principal component analysis to generate scenarios depicting the discrete joint distributions ...
    • Article  

      A dynamic stochastic programming model for international portfolio management 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2008)
      We develop a multi-stage stochastic programming model for international portfolio management in a dynamic setting. We model uncertainty in asset prices and exchange rates in terms of scenario trees that reflect the empirical ...
    • Article  

      Incorporating Derivative Securities in International Portfolios 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2004)
    • Working Paper  Open Access

      Integrated dynamic models for hedging international portfolio 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (The Wharton Financial Institutions CenterThe Wharton School, University of Pennsylvania, PA, 2017-12)
      We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide an increasing level of integration in managing market and foreign exchange (FX) ...
    • Article  

      Integrated dynamic models for hedging international portfolio risks 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2020)
      We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide increasing level of integration in managing market and foreign exchange (FX) risks. ...
    • Article  

      Optimizing international portfolios with options and forwards 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2011)
      We develop a stochastic programming model to address in a unified manner a number of interrelated decisions in international portfolio management: optimal portfolio diversification and mitigation of market and currency ...
    • Article  

      Pricing options on scenario trees 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2008)
      We examine valuation procedures that can be applied to incorporate options in scenario-based portfolio optimization models. Stochastic programming models use discrete scenarios to represent the stochastic evolution of asset ...