Browsing by Author "Xidonas, Panos"

Article

An Integrated Matching-Immunization Model for Bond Portfolio Optimization

Xidonas, Panos; Hassapis, Christis; Bouzianis, G.; Staikouras, Christos (2016)

We propose an integrated bond portfolio optimization model based on the popular cash-flow matching and immunization strategies. The underlying mathematical program, not only minimizes the initial required capital for the ...

Article

Multiobjective portfolio optimization: bridging mathematical theory with asset management practice

Xidonas, Panos; Hassapis, Christis; Mavrotas, George; Staikouras, Christos; Zopounidis, Constantin (2016)

We attempt to establish an integrated portfolio optimization business framework, in order to bridge the underlying gap between the complex mathematical theory of multiobjective mathematical programming and asset management ...

Article

RAROC in portfolio optimization

Xidonas, Panos; Kountzakis, Christos E.; Hassapis, Christis; Staikouras, Christos (2016)

Article

Robust minimum variance portfolio optimization modelling under scenario uncertainty

Xidonas, Panos; Hassapis, Christis; Soulis, John; Samitas, Aristeidis (2017)

Our purpose in this article is to develop a robust optimization model which minimizes portfolio variance for a finite set of covariance matrices scenarios. The proposed approach aims at the proper selection of portfolios, ...

Article

Robust multiobjective portfolio optimization: A minimax regret approach

Xidonas, Panos; Mavrotas, George; Hassapis, Christis; Zopounidis, Constantin (2017)

An efficient frontier in the typical portfolio selection problem provides an illustrative way to express the tradeoffs between return and risk. Following the basic ideas of modern portfolio theory as introduced by Markowitz, ...

Article

Robust portfolio optimization: a categorized bibliographic review

Xidonas, Panos; Steuer, Ralph; Hassapis, Christis (2020)

Robust portfolio optimization refers to finding an asset allocation strategy whose behavior under the worst possible realizations of the uncertain inputs, e.g., returns and covariances, is optimized. The robust approach ...

Article

A use of Black-Scholes model in market risk

Xidonas, Panos; Kountzakis, Christos E.; Hassapis, Christis; Staikouras, Christos (2016)