Browsing by Author "Vladimirou, Hercules"
Now showing items 21-40 of 45
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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. ...
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Article
Models for Planning under Uncertainty
Vladimirou, Hercules; Zenios, Stavros A.; Wets, Roger J.-B. (1995)
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Article
Models for Planning under Uncertainty
Vladimirou, Hercules; Zenios, Stavros A.; Wets, Roger J.-B. (1995)
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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 ...
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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 ...
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Book Chapter
Parallel Algorithms for Large-scale Stochastic Programming
Vladimirou, Hercules; Zenios, Stavros A. (Kluwer Academic Publishers, 1997)
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Book Chapter
Parallel Algorithms for Large-scale Stochastic Programming
Vladimirou, Hercules; Zenios, Stavros A. (Kluwer Academic Publishers, 1997)
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Article
Preface
Vladimirou, Hercules (2007)
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Article
Preface
Vladimirou, Hercules; Zenios, Stavros A.; Wets, Roger J.-B. (1995)
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Article
Preface
Vladimirou, Hercules; Zenios, Stavros A.; Wets, Roger J.-B. (1995)
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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 ...
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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 ...
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Article
Scalable parallel computations for large-scale stochastic programming
Vladimirou, Hercules; Zenios, Stavros A. (1999)
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Article
Solving multistage stochastic networks: An application of scenario aggregation
Mulvey, John M.; Vladimirou, Hercules (1991)The scenario aggregation algorithm is specialized for stochastic networks. The algorithm determines a solution that does not depend on hindsight and accounts for the uncertain environment depicted by a number of appropriately ...
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Article
Stability analysis of portfolio management with conditional value-at-risk
Kaut, M.; Vladimirou, Hercules; Wallace, S. W.; Zenios, Stavros A. (2007)We examine the stability of a portfolio management model based on the conditional value-at-risk (CVaR) measure
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Article
Stability analysis of portfolio management with conditional value-at-risk
Kaut, M.; Vladimirou, Hercules; Wallace, S. W.; Zenios, Stavros A. (2007)We examine the stability of a portfolio management model based on the conditional value-at-risk (CVaR) measure
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Book
Stochastic dynamic modeling of investments and risks in financial markets
Bertocchi, Marida; Pflug, Georg Ch; Vladimirou, Hercules (Springer, 2009)
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Article
Stochastic linear programs with restricted recourse
Vladimirou, Hercules; Zenios, Stavros A. (1997)Stochastic programs with recourse provide an effective modeling paradigm for sequential decision problems with uncertain or noisy data, when uncertainty can be modeled by a discrete set of scenarios. In two-stage problems ...
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Article
Stochastic linear programs with restricted recourse
Vladimirou, Hercules; Zenios, Stavros A. (1997)Stochastic programs with recourse provide an effective modeling paradigm for sequential decision problems with uncertain or noisy data, when uncertainty can be modeled by a discrete set of scenarios. In two-stage problems ...
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Article
Stochastic network optimization models for investment planning
Mulvey, John M.; Vladimirou, Hercules (1989)We describe and compare stochastic network optimization models for investment planning under uncertainty. Emphasis is placed on multiperiod a sset allocation and active portfolio management problems. Myopic as well as ...