Browsing Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance by Subject "Stochastic programming"

Now showing items 1-9 of 9

    • 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

      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 ...
    • 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 ...
    • 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 ...