Browsing by Subject "Portfolio optimization"

Now showing items 1-4 of 4

    • 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 ...
    • Working Paper  Open Access

      Risk management optimization for sovereign debt restructuring 

      Consiglio, Andrea; Zenios, Stavros A. (Journal of Globalization and Development, Vol. 6(2), pp. 181–213, Feb. 2016.; The Wharton School Financial Institutions Centre No. 14-10., 2015-12)
      Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario ...
    • 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, ...