• Article  

      Computational assessment of distributed decomposition methods for stochastic linear programs 

      Vladimirou, Hercules (1998)
      Incorporating uncertainty in optimization models gives rise to large, structured mathematical programs. Decomposition procedures are well-suited for parallelization, thus providing a promising venue for solving large ...
    • Conference Object  

      Distributed stochastic power control for time-varying long-term and short-term fading wireless networks 

      Olama, M. M.; Djouadi, S. M.; Charalambous, Charalambos D.; Sahyoun, S. (2007)
      In this paper, new time-varying wireless channel models that capture both the space and time variations of longterm and short-term fading wireless networks are developed. The proposed models are based on stochastic ...
    • 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 ...
    • Conference Object  

      A general framework for continuous time power control in time varying long term fading wireless networks 

      Olama, M. M.; Djouadi, S. M.; Charalambous, Charalambos D. (2007)
      In this paper, a general framework for continuous time power control algorithm under time varying long term fading wireless channels is developed. This contrasts most of the power control algorithms introduced in the ...
    • 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  

      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  

      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 ...
    • Working Paper  Open Access

      Pricing and Hedging GDP-Linked Bonds in Incomplete Markets 

      Consiglio, Andrea; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2017-09)
      We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging ...
    • 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 ...
    • 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 ...
    • Doctoral Thesis  Open Access

      QoS provisioning in Queueing Systems: a perturbation analysis of stochastic fluid models approach 

      Markou, Michael M. (Πανεπιστήμιο Κύπρου, Πολυτεχνική Σχολή / University of Cyprus, Faculty of Engineering, 2009-11)
      Έχοντας ως κίνητρο την παροχή Ποιότητας Υπηρεσιών (ΠΥ) σε Δίκτυα Επικοινωνιών, η Διατριβή αυτή στοχεύει στην ανάπτυξη πλαισίου για δυναμικό έλεγχο των παραμέτρων σε συστήματα ουρών ούτως ώστε να παρέχεται η απαιτούμενη ΠΥ. ...
    • Working Paper  Open Access

      Risk management for sovereign financing within a debt sustainability framework 

      Athanasopoulou, Marialena; Consiglio, Andrea; Erce, Aitor; Gavilan Gonzalez, Angel; Moshammer, Edmund; Zenios, Stavros A. (European Stability Mechanism Working Paper No. 31, 2018-09)
      The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing ...
    • 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 ...
    • 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 ...
    • 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 ...
    • 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 ...