Zenios Stavros A.

Stavros A. Zenios

Information about the author Stavros A. Zenios will soon be added to the site.
Found 40 papers in total
Credit risk optimization using factor models
Credit risk optimization using factor models
2007
We study portfolio credit risk management using factor models, with a focus on optimal...
Scenario optimization asset and liability modelling for individual investors
Scenario optimization asset and liability modelling for individual investors
2007
We develop a scenario optimization model for asset and liability management of...
On the simulation of portfolios of interest rate and credit risk sensitive securities
On the simulation of portfolios of interest rate and credit risk sensitive securities
2005
We discuss extensions of reduced-form and structural models for pricing credit risky...
Risk factor analysis and portfolio immunization in the corporate bond market
Risk factor analysis and portfolio immunization in the corporate bond market
2005
In this paper we develop a multi-factor model for the yields of corporate bonds. The...
Estimation of asset demands by heterogeneous agents
Estimation of asset demands by heterogeneous agents
2005
We develop optimization models to analyze the demand for financial assets by...
www.Personal_Asset_Allocation
www.Personal_Asset_Allocation
2004
Today consumers demand delivery of financial services anytime and anywhere, and their...
Patient choice in kidney allocation: The role of the queueing discipline
Patient choice in kidney allocation: The role of the queueing discipline
2004
This paper develops and analyzes a queueing model to examine the role of patient...
Limited recourse in two stage stochastic linear programs
Limited recourse in two stage stochastic linear programs
2003
In several real-world applications, modelled by two-stage stochastic problems, first-...
Scalable parallel computations for large-scale stochastic programming
Scalable parallel computations for large-scale stochastic programming
1999
Stochastic programming provides an effective framework for addressing decision...
Designing portfolios of financial products via integrated simulation and optimization models
Designing portfolios of financial products via integrated simulation and optimization models
1999
We analyze the problem of debt issuance through the sale of innovative financial...
Operations, quality, and profitability in the provision of banking services
Operations, quality, and profitability in the provision of banking services
1999
We develop a framework for combining strategic benchmarking with efficiency...
Pooled testing for HIV screening: Capturing the dilution effect
Pooled testing for HIV screening: Capturing the dilution effect
1996
We study pooled (or group) testing as a cost-effective alternative for screening...
Using data envelopment analysis for costing bank products
Using data envelopment analysis for costing bank products
1999
An important problem that many banks face is to provide satisfactory cost estimates...
Benchmarks of the efficiency of bank branches
Benchmarks of the efficiency of bank branches
1999
The Bank of Cyprus commissioned a study of the efficiency penalties paid by its...
Scenario modeling for the management of international bond portfolios
Scenario modeling for the management of international bond portfolios
1999
We address the problem of portfolio management in the international bond markets....
An interior point method with Bregman functions for the variational inequality problem with paramonotone operators
An interior point method with Bregman functions for the variational inequality problem with paramonotone operators
1998
We present an algorithm for the variational inequality problem on convex sets with...
Stochastic linear programs with restricted recourse
Stochastic linear programs with restricted recourse
1997
Stochastic programs with recourse provide an effective modeling paradigm for...
Robust optimization models for managing callable bond portfolios
Robust optimization models for managing callable bond portfolios
1996
A major sector of the bond markets is currently represented by instruments with...
The productivity of financial intermediation and the technology of financial product management
The productivity of financial intermediation and the technology of financial product management
1995
Financial intermediates – banks, thrifts, and life insurance companies –...
A scalable parallel interior point algorithm for stochastic linear programming and robust optimization
A scalable parallel interior point algorithm for stochastic linear programming and robust optimization
1997
We present a computationally efficient implementation of an interior point algorithm...
A stochastic programming model for money management
A stochastic programming model for money management
1995
Portfolio managers in the new fixed-income securities have to cope with various forms...
A smooth penalty function algorithm for network-structured problems
A smooth penalty function algorithm for network-structured problems
1995
We discuss the design and implementation of an algorithm for the solution of large...
Data-level parallel solution of min-cost network flow problems using ϵ-relaxations
Data-level parallel solution of min-cost network flow problems using ϵ-relaxations
1994
We discuss the data-parallel implementation of the ϵ-relaxation algorithm for...
A stochastic programming model for funding single premium deferred annuities
A stochastic programming model for funding single premium deferred annuities
1996
Single Premium Deferred Annuities (SPDAs) are investment vehicles, offered to...
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