Browsing by Subject "Scenarios"

Now showing items 1-4 of 4

    • 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  

      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 ...
    • Working Paper  Open Access

      Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances 

      Lotfi, Somayyeh; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2016-04)
      We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ...
    • Working Paper  Open Access

      Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling 

      Consiglio, Andrea; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-05)
      We express the opinion that sovereign debt sustainability analysis must be augmented by stochastic correlated risk factors and a risk measure to capture tail effects. Crisis situations can thus be adequately specified and ...