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Viewing Publication 1 - 75 from 75

2021

Risk Management for Sustainable Sovereign Debt FinancingStavros A. Zenios, Andrea Consiglio, Marialena Athanasopoulou, Edmund Moshammer, Angel Gavilan, Aitor Erce. ior, 69(3):755-773, 2021. [doi]

2020

Integrated dynamic models for hedging international portfolio risksNikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios. eor, 285(1):48-65, 2020. [doi]

2019

Preface: application of operations research to financial marketsIoannis Kyriakou, Athanasios A. Pantelous, Georgios Sermpinis, Stavros A. Zenios. anor, 282(1-2):1-2, 2019. [doi]

2018

Portfolio diversification in the sovereign credit swap marketsAndrea Consiglio, Somayyeh Lotfi, Stavros A. Zenios. anor, 266(1-2):5-33, 2018. [doi]

Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariancesSomayyeh Lotfi, Stavros A. Zenios. eor, 269(2):556-576, 2018. [doi]

2008

Asset and liability modelling for participating policies with guaranteesAndrea Consiglio, Flavio Cocco, Stavros A. Zenios. eor, 186(1):380-404, 2008. [doi]

A dynamic stochastic programming model for international portfolio managementNikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios. eor, 185(3):1501-1524, 2008. [doi]

Feature Cluster: Operational Research for Risk ManagementStavros A. Zenios, David Saunders. eor, 185(3):1402-1403, 2008. [doi]

2007

Scenario optimization asset and liability modelling for individual investorsAndrea Consiglio, Flavio Cocco, Stavros A. Zenios. anor, 152(1):167-191, 2007. [doi]

Credit risk optimization using factor modelsDavid Saunders, Costas Xiouros, Stavros A. Zenios. anor, 152(1):49-77, 2007. [doi]

2005

Risk factor analysis and portfolio immunization in the corporate bond marketMarida Bertocchi, Rosella Giacometti, Stavros A. Zenios. eor, 161(2):348-363, 2005. [doi]

Estimation of asset demands by heterogeneous agentsRita Laura D Ecclesia, Stavros A. Zenios. eor, 161(2):386-398, 2005. [doi]

On the simulation of portfolios of interest rate and credit risk sensitive securitiesNorbert J. Jobst, Stavros A. Zenios. eor, 161(2):298-324, 2005. [doi]

24. Optimization Models for Structuring Index FundsStavros A. Zenios. In Stein W. Wallace, William T. Ziemba, editors, Applications of Stochastic Programming. pages 471-501, SIAM, 2005. [doi]

2004

www.Personal_Asset_AllocationAndrea Consiglio, Flavio Cocco, Stavros A. Zenios. interfaces, 34(4):287-302, 2004. [doi]

2001

Integrated simulation and optimization models for tracking international fixed income indicesAndrea Consiglio, Stavros A. Zenios. mp, 89(2):311-339, 2001. [doi]

1999

Scenario modeling for the management ofinternational bond portfoliosAndrea Beltratti, Andrea Consiglio, Stavros A. Zenios. anor, 85:227-247, 1999. [doi]

Designing Portfolios of Financial Products via Integrated Simulation and Optimization ModelsAndrea Consiglio, Stavros A. Zenios. ior, 47(2):195-208, 1999. [doi]

Using data envelopment analysis for costing bank productsAndreas C. Soteriou, Stavros A. Zenios. eor, 114(2):234-248, 1999. [doi]

Scalable parallel computations forlarge-scale stochastic programmingHercules Vladimirou, Stavros A. Zenios. anor, 90:87-129, 1999. [doi]

High-performance computing in finance: The last 10 years and the nextStavros A. Zenios. pc, 25(13-14):2149-2175, 1999.

Benchmarks of the Efficiency of Bank BranchesChristiana V. Zenios, Stavros A. Zenios, Kostas Agathocleous, Andreas C. Soteriou. interfaces, 29(3):37-51, 1999. [doi]

1998

An interior point method with Bregman functions for the variational inequality problem with paramonotone operatorsYair Censor, Alfredo N. Iusem, Stavros A. Zenios. mp, 81:373-400, 1998.

1997

Scalable Parallel Benders Decomposition for Stochastic Linear ProgrammingSøren S. Nielsen, Stavros A. Zenios. pc, 23(8):1069-1088, 1997.

A Scalable Parallel Interior Point Algorithm for Stochastic Linear Programming and Robust OptimizationDafeng Yang, Stavros A. Zenios. coap, 7(1):143-158, 1997. [doi]

1996

Solving multistage stochastic network programs on massively parallel computersSøren S. Nielsen, Stavros A. Zenios. mp, 73:227-250, 1996.

A stochastic programming model for funding single premium deferred annuitiesSøren S. Nielsen, Stavros A. Zenios. mp, 75:177-200, 1996.

Massively Parallel Computations in FinanceStavros A. Zenios. In Greg Astfalk, editor, Applications on Advanced Architecture Computers. Software, environments, tools, pages 311-318, SIAM, 1996. [doi]

1995

1994

Parallel Factorization of Structured Matrices Arising in Stochastic ProgrammingElizabeth R. Jessup, Dafeng Yang, Stavros A. Zenios. siamjo, 4(4):833-846, 1994. [doi]

A data-level parallel linear-quadratic penalty algorithm for multicommodity network flowsMustafa Pinar, Stavros A. Zenios. TOMS, 20(4):531-552, 1994. [doi]

On the Scalability of Data-Parallel Decomposition Algorithms for Stochastic ProgramsRuijin Qi, Stavros A. Zenios. jpdc, 22(3):565-570, 1994.

Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income SecuritiesKenneth J. Worzel, Christiana Vassiadou-Zeniou, Stavros A. Zenios. ior, 42(2):223-233, 1994. [doi]

Data parallel computing for network-structured optimization problemsStavros A. Zenios. coap, 3(3):199-242, 1994. [doi]

On Smoothing Exact Penalty Functions for Convex Constrained OptimizationMustafa Ç. Pinar, Stavros A. Zenios. siamjo, 4(3):486-511, 1994. [doi]

1993

Massively Parallel Proximal Algorithms for Solving Linear Stochastic Network ProgramsSøren S. Nielsen, Stavros A. Zenios. ijhpca, 7(4):349-364, 1993. [doi]

A Massively Parallel Algorithm for Nonlinear Stochastic Network ProblemsSøren S. Nielsen, Stavros A. Zenios. ior, 41(2):319-337, 1993. [doi]

D-functions and the massively parallel solution of linear network programsSøren S. Nielsen, Stavros A. Zenios. coap, 1(4):375-398, 1993. [doi]

Mean-absolute deviation portfolio optimization for mortgage-backed securitiesStavros A. Zenios, Pan Kang. anor, 45(1):433-450, 1993. [doi]

A model for portfolio management with mortgage-backed securitiesStavros A. Zenios. anor, 43(6):337-356, 1993. [doi]

A Comparative Study of Parallel Decompositions for Multicommodity Flow ProblemsMustafa Ç. Pinar, Stavros A. Zenios. paapp, 1(4):255-271, 1993. [doi]

1992

PrefaceOsman Balci, Ramesh Sharda, Stavros A. Zenios. In Osman Balci, Ramesh Sharda, Stavros A. Zenios, editors, Computer Science and Operations Research. Pergamon Press, 1992. [doi]

Data structures for network algorithms on massively parallel architecturesSøren S. Nielsen, Stavros A. Zenios. pc, 18(9):1033-1052, 1992.

Massively Parallel Algorithms for Singly Constrained Convex ProgramsSÃ¸ren S. Nielsen, Stavros A. Zenios. informs, 4(2):166-181, 1992. [doi]

Parallel Decomposition of multicommodity Flow Problems using Coercion MethodsRuijin Qi, Stavros A. Zenios. In Osman Balci, Ramesh Sharda, Stavros A. Zenios, editors, Computer Science and Operations Research. pages 307-318, Pergamon Press, 1992. [doi]

Parallel Block-Partitioning of Truncated Newton for Nonlinear Network OptimizationStavros A. Zenios, Mustafa Ç. Pinar. siamsc, 13(5):1173-1193, 1992. [doi]

Parallel Decomposition of Multicommodity Network Flows Using a Linear-Quadratic Penalty AlgorithmMustafa Ã‡. Pinar, Stavros A. Zenios. informs, 4(3):235-249, 1992. [doi]

Naval personnel Assignment: an Application of linear-quadratic penalty MethodsMustafa Ç. Pinar, Stavros A. Zenios. In Osman Balci, Ramesh Sharda, Stavros A. Zenios, editors, Computer Science and Operations Research. pages 43-58, Pergamon Press, 1992. [doi]

1991

Synchronous and asynchronous implementations of relaxation algorithms for nonlinear network optimizationEmmanuel D. Chajakis, Stavros A. Zenios. pc, 17(8):873-894, 1991.

Financial Simulations On a Massively Parallel Connection MachineJames M. Hutchinson, Stavros A. Zenios. ijhpca, 5(2):28-46, 1991. [doi]

On a Massively Parallel e-Relaxization Algorithm for Linear Transformation ProblemsXiaoye S. Li, Stavros A. Zenios. icpp 1991: 306-307

An Investigation of the Effect of Problem Structure on Stochastic Programming AlgorithmsSøren S. Nielsen, Stavros A. Zenios. ppsc 1992: 193-198

On the Massively Parallel Solution of Linear Network Flow ProblemsSøren S. Nielsen, Stavros A. Zenios. dimacs 1993: 349-370

On the Massively Parallel Solution of the Assignment ProblemJoel Wein, Stavros A. Zenios. jpdc, 13(2):228-236, 1991.

Massively Parallel Row-Action Algorithms for Some Nonlinear Transportation ProblemsStavros A. Zenios, Yair Censor. siamjo, 1(3):373-400, 1991. [doi]

On the Fine-Grain Decomposition of Multicommodity Transportation ProblemsStavros A. Zenios. siamjo, 1(4):643-669, 1991. [doi]

1990

A Comparative Study of Algorithms for Matrix BalancingMichael H. Schneider, Stavros A. Zenios. ior, 38(3):439-455, 1990. [doi]

Integrating network optimization capabilities into a high-level modeling languageStavros A. Zenios. TOMS, 16(2):113-142, 1990. [doi]

Matrix Balancing on a Massively Parallel Connection MachineStavros A. Zenios. informs, 2(2):112-125, 1990. [doi]

1989

1988

The connection machines CM-1 and CM-2: solving nonlinear network problemsStavros A. Zenios, Robert Lasken. ics 1988: 648-658 [doi]

A distributed algorithm for convex network optimization problemsStavros A. Zenios, John M. Mulvey. pc, 6(1):45-56, 1988. [doi]

Vectorization and multitasking of nonlinear network programming algorithmsStavros A. Zenios, John M. Mulvey. mp, 42(1-3):449-470, 1988. [doi]

1987

Nonlinear programming on generalized networksDavid P. Ahlfeld, John M. Mulvey, Ron S. Dembo, Stavros A. Zenios. TOMS, 13(4):350-367, 1987. [doi]

1986

Nonlinear Network Programming on Vector Supercomputers: A Study on the CRAY X-MPStavros A. Zenios, John M. Mulvey. ior, 34(5):667-682, 1986. [doi]

Nonlinear network programming on a vector supercomputer (abstract)Stavros A. Zenios, John M. Mulvey. acm 1986: 497 [doi]

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