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1

Robust Optimization of Large-Scale Systems

John M. Mulvey, Robert J. Vanderbei and Stavros A. Zenios

Journal:

Operations Research

Year:

1995

Language:

english

File:

PDF, 807 KB

english, 1995

2

Complete Prepayment Models for Mortgage-Backed Securities

Kang, Pan, Zenios, Stavros A.

Journal:

Management Science

Year:

1992

Language:

english

File:

PDF, 1.05 MB

english, 1992

3

A stochastic programming model for money management

Bennett Golub, Martin Holmer, Raymond McKendall, Lawrence Pohlman, Stavros A. Zenios

Journal:

European Journal of Operational Research

Year:

1995

Language:

english

File:

PDF, 931 KB

english, 1995

4

Asset and liability management for insurance products with minimum guarantees: The UK case

Andrea Consiglio, David Saunders, Stavros A. Zenios

Journal:

Journal of Banking & Finance

Year:

2006

Language:

english

File:

PDF, 246 KB

english, 2006

5

Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities

Kenneth J. Worzel, Christiana Vassiadou-Zeniou and Stavros A. Zenios

Journal:

Operations Research

Year:

1994

Language:

english

File:

PDF, 1.90 MB

english, 1994

6

Pitfalls in the Analysis of Option-Adjusted Spreads

David F. Babbel and Stavros A. Zenios

Journal:

Financial Analysts Journal

Year:

1992

Language:

english

File:

PDF, 839 KB

english, 1992

7

Pricing options on scenario trees

Nikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios

Journal:

Journal of Banking & Finance

Year:

2008

Language:

english

File:

PDF, 262 KB

english, 2008

8

A parsimonious model for generating arbitrage-free scenario trees

Consiglio, Andrea, Carollo, Angelo, Zenios, Stavros A.

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 648 KB

english, 2016

9

Inside the Black Box: What Makes a Bank Efficient?

Frei, Frances X, Harker, Patrick T, Hunter, Larry W, Zenios, Stavros a

Journal:

Performance of Financial Institutions. Efficiency, Innovation, Regulation

Year:

2000

Language:

english

File:

PDF, 185 KB

english, 2000

10

On the proximal minimization algorithm with D-Functions

Yair Censor, Stavros A. Zenios

Journal:

Linear Algebra and its Applications

Year:

1992

Language:

english

File:

PDF, 298 KB

english, 1992

11

A dynamic stochastic programming model for international portfolio management

Nikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios

Journal:

European Journal of Operational Research

Year:

2008

Language:

english

File:

PDF, 2.14 MB

english, 2008

12

Risk factor analysis and portfolio immunization in the corporate bond market

Marida Bertocchi, Rosella Giacometti, Stavros A. Zenios

Journal:

European Journal of Operational Research

Year:

2005

Language:

english

File:

PDF, 744 KB

english, 2005

13

Dynamic models for fixed-income portfolio management under uncertainty

Stavros A Zenios, Martin R Holmer, Raymond McKendall, Christiana Vassiadou-Zeniou

Journal:

Journal of Economic Dynamics and Control

Year:

1998

Language:

english

File:

PDF, 309 KB

english, 1998

14

Integrating market and credit risk: A simulation and optimisation perspective

Norbert J. Jobst, Gautam Mitra, Stavros A. Zenios

Journal:

Journal of Banking & Finance

Year:

2006

Language:

english

File:

PDF, 1.09 MB

english, 2006

15

Optimizing international portfolios with options and forwards

Nikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios

Journal:

Journal of Banking & Finance

Year:

2011

Language:

english

File:

PDF, 1.11 MB

english, 2011

16

CVaR models with selective hedging for international asset allocation

Nikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios

Journal:

Journal of Banking & Finance

Year:

2002

Language:

english

File:

PDF, 937 KB

english, 2002

17

Tracking bond indices in an integrated market and credit risk environment

Jobst, Norbert J, Zenios, Stavros A

Journal:

Quantitative Finance

Year:

2003

Language:

english

File:

PDF, 440 KB

english, 2003

18

Focused Issue on Financial Modeling || Complete Prepayment Models for Mortgage-Backed Securities

Pan Kang and Stavros A. Zenios

Journal:

Management Science

Year:

1992

Language:

english

File:

PDF, 2.28 MB

english, 1992

19

The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios

JOBST, NORBERT J., ZENIOS, STAVROS A.

Journal:

The Journal of Risk Finance

Year:

2001

Language:

english

File:

PDF, 472 KB

english, 2001

20

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

Consiglio, Andrea, Zenios, Stavros A.

Journal:

Optimization and Engineering

Year:

2017

Language:

english

File:

PDF, 856 KB

english, 2017

21

Generating Multi-Asset Arbitrage-Free Scenario Trees with Global Optimization

Consiglio, Andrea, Carollo, Angelo, Zenios, Stavros A.

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 512 KB

english, 2013

22

Preface: application of operations research to financial markets

Kyriakou, Ioannis, Pantelous, Athanasios A., Sermpinis, Georgios, Zenios, Stavros A.

Journal:

Annals of Operations Research

Year:

2019

Language:

english

File:

PDF, 386 KB

english, 2019

23

Real-time operational planning for the U.S. air traffic system

John M. Mulvey, Stavros A. Zenios

Journal:

Applied Numerical Mathematics

Year:

1987

Language:

english

File:

PDF, 1.09 MB

english, 1987

24

Robust optimization models for managing callable bond portfolios

Christiana Vassiadou-Zeniou, Stavros A. Zenios

Journal:

European Journal of Operational Research

Year:

1996

Language:

english

File:

PDF, 743 KB

english, 1996

25

Scenario modelling for selective hedging strategies

Andrea Beltratti, Andrea Laurant, Stavros A. Zenios

Journal:

Journal of Economic Dynamics and Control

Year:

2004

Language:

english

File:

PDF, 284 KB

english, 2004

26

High-performance computing in finance: The last 10 years and the next

Stavros A. Zenios

Journal:

Parallel Computing

Year:

1999

Language:

english

File:

PDF, 613 KB

english, 1999

27

Proximal minimizations withD-functions and the massively parallel solution of linear network programs

Soren S. Nielsen, Stavros A. Zenios

Journal:

Computational Optimization and Applications

Year:

1993

Language:

english

File:

PDF, 1.37 MB

english, 1993

28

An interior point method with Bregman functions for the variational inequality problem with paramonotone operators

Yair Censor, Alfredo N. Iusem, Stavros A. Zenios

Journal:

Mathematical Programming

Year:

1998

Language:

english

File:

PDF, 1.53 MB

english, 1998

29

Integrated simulation and optimization models for tracking international fixed income indices

Andrea Consiglio, Stavros A. Zenios

Journal:

Mathematical Programming

Year:

2001

Language:

english

File:

PDF, 276 KB

english, 2001

30

Parallel computing with block-iterative image reconstruction algorithms

Stavros A. Zenios, Yair Censor

Journal:

Applied Numerical Mathematics

Year:

1991

Language:

english

File:

PDF, 1.26 MB

english, 1991

31

Mean-absolute deviation portfolio optimization for mortgage-backed securities

Stavros A. Zenios, Pan Kang

Journal:

Annals of Operations Research

Year:

1993

Language:

english

File:

PDF, 1.07 MB

english, 1993

32

Operations, Quality, and Profitability in the Provision of Banking Services

Soteriou, Andreas, Zenios, Stavros A.

Journal:

Management Science

Year:

1999

Language:

english

File:

PDF, 409 KB

english, 1999

33

Large-Scale Nonlinear Network Models and Their Application

Ron S. Dembo, John M. Mulvey and Stavros A. Zenios

Journal:

Operations Research

Year:

1989

Language:

english

File:

PDF, 703 KB

english, 1989

34

The Productivity of Financial Intermediation and the Technology of Financial Product Management

Martin R. Holmer and Stavros A. Zenios

Journal:

Operations Research

Year:

1995

Language:

english

File:

PDF, 573 KB

english, 1995

35

A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems

Soren S. Nielsen and Stavros A. Zenios

Journal:

Operations Research

Year:

1993

Language:

english

File:

PDF, 734 KB

english, 1993

36

Designing Portfolios of Financial Products Via Integrated Simulation and Optimization Models

Andrea Consiglio and Stavros A. Zenios

Journal:

Operations Research

Year:

1999

Language:

english

File:

PDF, 1.13 MB

english, 1999

37

Performance of Financial Institutions || Operations, Quality, and Profitability in the Provision of Banking Services

Andreas Soteriou and Stavros A. Zenios

Journal:

Management Science

Year:

1999

Language:

english

File:

PDF, 2.90 MB

english, 1999

38

[Handbook of Computational Economics] Volume 1 || Chapter 10 Modeling languages in computational economics: Gams

Zenios, Stavros A.

Year:

1996

Language:

english

File:

PDF, 881 KB

english, 1996

39

Stability analysis of portfolio management with conditional value-at-risk

Kaut, Michal, Vladimirou, Hercules, Wallace, Stein W., Zenios, Stavros A.

Journal:

Quantitative Finance

Year:

2007

Language:

english

File:

PDF, 238 KB

english, 2007

40

Risk profiles for re-profiling the sovereign debt of crisis countries

Consiglio, Andrea, Zenios, Stavros

Journal:

The Journal of Risk Finance

Year:

2015

Language:

english

File:

PDF, 683 KB

english, 2015

41

Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models

Consiglio, Andrea, Zenios, Stavros A.

Journal:

Operations Research

Year:

1999

Language:

english

File:

PDF, 601 KB

english, 1999

42

Predicting Prepayment Rates for Mortgages Using the Cascade-Correlation Learning Algorithm

Yamamoto, Yoshio, Zenios, Stavros A

Journal:

The Journal of Fixed Income

Year:

1993

Language:

english

File:

PDF, 863 KB

english, 1993

43

A data-level parallel linear-quadratic penalty algorithm for multicommodity network flows

Pinar, Mustafa Ç., Zenios, Stavros A.

Journal:

ACM Transactions on Mathematical Software

Year:

1994

Language:

english

File:

PDF, 1.25 MB

english, 1994

44

A Computer Network Approach to Pricing Mortgage-Backed Securities

Leigh D. Cagan, Nicholas J. Carriero and Stavros A. Zenios

Journal:

Financial Analysts Journal

Year:

1993

Language:

english

File:

PDF, 1.50 MB

english, 1993

45

Designing and pricing guarantee options in defined contribution pension plans

Consiglio, Andrea, Tumminello, Michele, Zenios, Stavros A.

Journal:

Insurance: Mathematics and Economics

Year:

2015

Language:

english

File:

PDF, 643 KB

english, 2015

46

Focused Issue on Financial Modeling || Introduction to the Focused Issue on Financial Modeling

Stavros A. Zenios and William T. Ziemba

Journal:

Management Science

Year:

1992

Language:

english

File:

PDF, 689 KB

english, 1992

47

Dynamic Diversification of Fixed Income Portfolios

John M. Mulvey and Stavros A. Zenios

Journal:

Financial Analysts Journal

Year:

1994

Language:

english

File:

PDF, 1.63 MB

english, 1994

48

A conditional value-at-risk model for insurance products with a guarantee

Consiglio, Andrea, Pecorella, Antonio, Zenios, Stavros A.

Journal:

International Journal of Risk Assessment and Management

Year:

2009

Language:

english

File:

PDF, 443 KB

english, 2009

49

Capturing the Correlations of Fixed-Income Instruments

John M. Mulvey and Stavros A. Zenios

Journal:

Management Science

Year:

1994

Language:

english

File:

PDF, 2.26 MB

english, 1994

50

www.Personal_Asset_Allocation

Andrea Consiglio, Flavio Cocco and Stavros A. Zenios

Journal:

Year:

2004

Language:

english

File:

PDF, 3.53 MB

english, 2004