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Stavros A. Zenios

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Enrique Alberola-Ila & Gong Cheng & Andrea Consiglio & Stavros A. Zenios, 2022. "Debt sustainability and monetary policy: the case of ECB asset purchases," BIS Working Papers 1034, Bank for International Settlements.

    Cited by:

    1. Czeczeli, Vivien, 2023. "Az államadósság fenntarthatósága alacsony kamatkörnyezetben [The sustainability of public debt in a low interest rate environment]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1361-1388.
    2. António Afonso & Francisco Gomes-Pereira, 2024. "Does monetary policy influence euro area fiscal sustainability?," Working Papers REM 2024/0335, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    3. Alberola, Enrique & Cheng, Gong & Consiglio, Andrea & Zenios, Stavros A., 2023. "Unconventional monetary policy and debt sustainability in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 69(C).
    4. Kovács, Olivér, 2023. "Fiskális politika az öröklétnek - államadósság: ördög vagy messiás?* Olivier Blanchard: Fiscal Policy Under Low Interest Rates. MIT Press, 2023, 192 o [Fiscal policy for eternity - public dept: dev," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 103-110.
    5. Lotfi, Somayyeh & Milidonis, Andreas & Zenios, Stavros A., 2024. "Mispricing of debt expansion in the eurozone sovereign credit market," Journal of Financial Stability, Elsevier, vol. 70(C).

  2. Marialena Athanasopoulou & Andrea Consiglio & Aitor Erce & Angel Gavilan & Edmund Moshammer & Stavros A. Zenios, 2019. "Risk Management for Sovereign Debt Financing with Sustainability Conditions," Globalization Institute Working Papers 367, Federal Reserve Bank of Dallas.

    Cited by:

    1. Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2019. "The Maturity of Sovereign Debt Issuance in the Euro Area," CEPR Discussion Papers 13729, C.E.P.R. Discussion Papers.

  3. Andrea Consiglio & Michele Tumminello & Stavros A. Zenios, 2018. "Pricing sovereign contingent convertible debt," Papers 1804.01475, arXiv.org.

    Cited by:

    1. Consiglio, Andrea & Zenios, Stavros A., 2018. "Pricing and hedging GDP-linked bonds in incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 137-155.
    2. Consiglio Andrea & Zenios Stavros A., 2018. "Contingent Convertible Bonds for Sovereign Debt Risk Management," Journal of Globalization and Development, De Gruyter, vol. 9(1), pages 1-24, June.
    3. Andrea Consiglio & Somayyeh Lotfi & Stavros A. Zenios, 2018. "Portfolio diversification in the sovereign credit swap markets," Annals of Operations Research, Springer, vol. 266(1), pages 5-33, July.
    4. Consiglio, Andrea & Zenios, Stavros A., 2015. "The Case for Contingent Convertible Debt for Sovereignst," Working Papers 15-13, University of Pennsylvania, Wharton School, Weiss Center.
    5. Juan Carlos Hatchondo & Leonardo Martinez & Yasin Kürsat Önder & Francisco Roch, 2024. "Sovereign CoCos and debt forgiveness," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1096, Ghent University, Faculty of Economics and Business Administration.
    6. Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.

  4. Maria Demertzis & Stavros Zenios, 2018. "State contingent debt as insurance for euro-area sovereigns," Bruegel Working Papers 25324, Bruegel.

    Cited by:

    1. Emter, Lorenz & Herzberg, Valerie, 2018. "The rationale for GDP-linked bonds for the euro area," Economic Letters 10/EL/18, Central Bank of Ireland.
    2. Stavros A. Zenios, 2022. "The risks from climate change to sovereign debt," Climatic Change, Springer, vol. 172(3), pages 1-19, June.
    3. Olga I. Vikarchuk & Serhii M. Nikolaienko & Olena O. Kalinichenko & Iryna O. Poita, 2020. "Integrated evaluation as a precedence of economic security management insurance market," RIVISTA DI STUDI SULLA SOSTENIBILITA', FrancoAngeli Editore, vol. 0(2 suppl.), pages 157-171.
    4. Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.

  5. Marialena Athanasopoulou & Andrea Consiglio & Aitor Erce & Angel Gavilan & Edmund Moshammer & Stavros A. Zenios, 2018. "Risk management for sovereign financing within a debt sustainability framework," Working Papers 31, European Stability Mechanism.

    Cited by:

    1. Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2019. "The Maturity of Sovereign Debt Issuance in the Euro Area," CEPR Discussion Papers 13729, C.E.P.R. Discussion Papers.

  6. Consiglio, A. & Zenios, S. A., 2017. "Pricing and Hedging GDP-Linked Bonds in Incomplete Markets," Working Papers 17-02, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Maximiliano Dvorkin & Juan M. Sanchez & Horacio Sapriza & Emircan Yurdagul, 2019. "Improving Sovereign Debt Restructurings," Working Papers 2019-36, Federal Reserve Bank of St. Louis, revised 06 Apr 2022.
    2. Sarah Mouabbi & Jean-Paul Renne & Jean-Guillaume Sahuc, 2021. "Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective," Working papers 844, Banque de France.
    3. Pina, Gonçalo, 2024. "State-contingent debt with lender risk aversion," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 180-189.
    4. Harris Ntantanis & Lawrence Pohlman, 2020. "Market implied GDP," Journal of Asset Management, Palgrave Macmillan, vol. 21(7), pages 636-646, December.
    5. Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2016. "Pricing Sovereign Contingent Convertible Debt," Working Papers 16-05, University of Pennsylvania, Wharton School, Weiss Center.
    6. Jean-Marc Fournier & Jakob Lehr, 2018. "Issuing GDP-linked bonds: Supply and demand can match," OECD Economics Department Working Papers 1500, OECD Publishing.
    7. Dahlen, Niklas & Fehrenkötter, Rieke & Schreiter, Maximilian, 2024. "The new bond on the block — Designing a carbon-linked bond for sustainable investment projects," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 316-325.
    8. Nicolas Carnot & Stéphanie Pamies Sumner, 2017. "GDP-linked Bonds: Some Simulations on EU Countries," European Economy - Discussion Papers 073, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    9. Kalamov, Zarko Y. & Zimmermann, Karl J., 2023. "GDP-linked bonds and economic growth," Journal of International Money and Finance, Elsevier, vol. 137(C).

  7. Consiglio, Andrea & Lotfi, Somayyeh & Zenios, Stavros A., 2016. "Portfolio Diversification in the Sovereign Credit Swap Markets," Working Papers 16-06, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Konstantinos Gkillas & Dimitrios Vortelinos & Christos Floros & Alexandros Garefalakis & Nikolaos Sariannidis, 2020. "Greek sovereign crisis and European exchange rates: effects of news releases and their providers," Annals of Operations Research, Springer, vol. 294(1), pages 515-536, November.
    2. Chamizo, Álvaro & Novales, Alfonso, 2021. "Evaluation of market risk associated with hedging a credit derivative portfolio," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 411-430.
    3. Mile Bošnjak & Ivan Novak & Maja Bašiæ, 2019. "Persistence of shocks in CDS returns on Croatian bonds: Quantile autoregression approach," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(2), pages 759-775.
    4. Dimitris Andriosopoulos & Michael Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Post-Print hal-02880149, HAL.
    5. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe," Review of Derivatives Research, Springer, vol. 22(2), pages 203-259, July.
    6. Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2016. "Pricing Sovereign Contingent Convertible Debt," Working Papers 16-05, University of Pennsylvania, Wharton School, Weiss Center.
    7. Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).

  8. Consiglio, Andrea & Zenios, Stavros A., 2015. "The Case for Contingent Convertible Debt for Sovereignst," Working Papers 15-13, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Consiglio, Andrea & Zenios, Stavros A., 2018. "Pricing and hedging GDP-linked bonds in incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 137-155.

  9. Consiglio, Andrea & Carollo, Angelo & Zenios, Stavros A., 2014. "Generating Multi-factor Arbitrage-Free Scenario Trees with Global Optimization," Working Papers 13-35, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Staino, Alessandro & Russo, Emilio, 2015. "A moment-matching method to generate arbitrage-free scenarios," European Journal of Operational Research, Elsevier, vol. 246(2), pages 619-630.

  10. Consiglio, Andrea & Zenios, Stavros A., 2014. "Risk Profiles for Re-profiling the Sovereign Debt of Crisis Countries," Working Papers 14-14, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Consiglio, Andrea & Zenios, Stavros A., 2014. "Risk Management Optimization for Sovereign Debt Restructuring," Working Papers 14-10, University of Pennsylvania, Wharton School, Weiss Center.

  11. Consiglio, Andrea & Zenios, Stavros A., 2014. "Risk Management Optimization for Sovereign Debt Restructuring," Working Papers 14-10, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Guzman Martin & Heymann Daniel, 2015. "The IMF Debt Sustainability Analysis: Issues and Problems," Journal of Globalization and Development, De Gruyter, vol. 6(2), pages 387-404, December.
    2. Corsetti, Giancarlo & Erce, Aitor & Uy, Timothy, 2017. "Official sector lending strategies during the Euro Area crisis," LSE Research Online Documents on Economics 86155, London School of Economics and Political Science, LSE Library.
    3. Martin Guzman & Domenico Lombardi, 2018. "Assessing the Appropriate Size of Relief in Sovereign Debt Restructuring," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2018-26, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
    4. Consiglio Andrea & Zenios Stavros A., 2018. "Contingent Convertible Bonds for Sovereign Debt Risk Management," Journal of Globalization and Development, De Gruyter, vol. 9(1), pages 1-24, June.
    5. Giancarlo Corsetti & Aitor Erce & Timothy Uy, 2020. "Official sector lending during the euro area crisis," The Review of International Organizations, Springer, vol. 15(3), pages 667-705, July.
    6. Wei Cui, 2017. "Macroeconomic Effects of Delayed Capital Liquidation," Discussion Papers 1719, Centre for Macroeconomics (CFM).
    7. Marialena Athanasopoulou & Andrea Consiglio & Aitor Erce & Angel Gavilan & Edmund Moshammer & Stavros A. Zenios, 2019. "Risk Management for Sovereign Debt Financing with Sustainability Conditions," Globalization Institute Working Papers 367, Federal Reserve Bank of Dallas.
    8. Consiglio, Andrea & Zenios, Stavros A., 2015. "The Case for Contingent Convertible Debt for Sovereignst," Working Papers 15-13, University of Pennsylvania, Wharton School, Weiss Center.
    9. Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2016. "Pricing Sovereign Contingent Convertible Debt," Working Papers 16-05, University of Pennsylvania, Wharton School, Weiss Center.
    10. Ruicheng Yang & Li Li & Qi Jiang & Ji Qi, 2022. "Optimal bond issuance with cost and liquidity constraints for Chinese local governments: a multi-period stochastic programming approach," Empirical Economics, Springer, vol. 63(5), pages 2605-2632, November.
    11. Pablo A. Gluzmann & Martin M. Guzman & Joseph E. Stiglitz, 2018. "An Analysis of Puerto Rico's Debt Relief Needs to Restore Debt Sustainability," NBER Working Papers 25256, National Bureau of Economic Research, Inc.

  12. Zenios, Stavros A., 2014. "Fairness and Reflexivity in the Cyprus Bail-In," Working Papers 14-04, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Orphanides, Athanasios, 2014. "The Euro Area Crisis: Politics over Economics," CEPR Discussion Papers 10033, C.E.P.R. Discussion Papers.
    2. Sofronis Clerides, 2014. "The Collapse of the Cypriot Banking System: A Bird’s Eye View," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 8(2), pages 3-35, December.
    3. George Christou & George Kyris, 2017. "The Impact of the Eurozone Crisis on National Foreign Policy: Enhancing Europeanization in the Case of Cyprus-super-," Journal of Common Market Studies, Wiley Blackwell, vol. 55(6), pages 1290-1305, November.

  13. Zenios, Stavros A., 2013. "The Cyprus Debt: Perfect Crisis and a Way Forward," Working Papers 13-09, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Scott Brown & Demetra Demetriou & Panayiotis Theodossiou, 2018. "Banking Crisis in Cyprus: Causes, Consequences and Recent Developments," Multinational Finance Journal, Multinational Finance Journal, vol. 22(1-2), pages 63-118, March - J.
    2. Georgia, Dimitriou & Metaxas, Theodore, 2018. "Mapping economic crisis in South Europe: Greece, Portugal and Cyprus," MPRA Paper 87373, University Library of Munich, Germany.
    3. Michaelides, Alexander, 2014. "What Happened in Cyprus?," CEPR Discussion Papers 9993, C.E.P.R. Discussion Papers.
    4. Ioulia Solomou & Fofi Constantinidou, 2020. "Prevalence and Predictors of Anxiety and Depression Symptoms during the COVID-19 Pandemic and Compliance with Precautionary Measures: Age and Sex Matter," IJERPH, MDPI, vol. 17(14), pages 1-19, July.
    5. Duane, Michael & Schuermann, Til & Reynolds, Peter, 2013. "Stress Testing Bank Profitability," Working Papers 13-30, University of Pennsylvania, Wharton School, Weiss Center.
    6. Gorovaia, Nina & Zenios, Stavros A., 2013. "Innovation in Times of Financial Crisis," Working Papers 13-31, University of Pennsylvania, Wharton School, Weiss Center.
    7. Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2020. "The effect of the PSI in the relationship between sovereign and bank credit risk: Evidence from the Euro Area," MPRA Paper 98182, University Library of Munich, Germany.
    8. Elias Giannakis & Theofanis P. Mamuneas, 2018. "Sectoral linkages and economic crisis: An input-output analysis of the Cypriot economy," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 12(1), pages 28-40, June.
    9. Christos Christodoulou-Volos & Andreas Hadjixenophontos, 2017. "Empirical Determinants of the Non-Performing Loans in the Cypriot Banking System," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 6(4), pages 1-1.
    10. Sofronis Clerides, 2014. "The Collapse of the Cypriot Banking System: A Bird’s Eye View," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 8(2), pages 3-35, December.
    11. George Christou & George Kyris, 2017. "The Impact of the Eurozone Crisis on National Foreign Policy: Enhancing Europeanization in the Case of Cyprus-super-," Journal of Common Market Studies, Wiley Blackwell, vol. 55(6), pages 1290-1305, November.

  14. Hercules Vladimirou & Nikolas Topaloglou & Stavros A. Zenios, 2006. "A Stochastic Programming Framework for International PortfolioManagement," Computing in Economics and Finance 2006 404, Society for Computational Economics.

    Cited by:

    1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "Pricing options on scenario trees," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 283-298, February.

  15. Norbert Jobst & Stavros A. Zenios, 2001. "The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios," Center for Financial Institutions Working Papers 01-24, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. Marida Bertocchi & Rosella Giacometti & Stavros A. Zenios, 2000. "Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market," Center for Financial Institutions Working Papers 00-40, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Tatiana Ermolieva & Yuri Ermoliev & Guenther Fischer & Istvan Galambos, 2003. "The Role of Financial Instruments in Integrated Catastrophic Flood Management," Multinational Finance Journal, Multinational Finance Journal, vol. 7(3-4), pages 207-230, September.
    3. Jobst, Norbert J. & Mitra, Gautam & Zenios, Stavros A., 2006. "Integrating market and credit risk: A simulation and optimisation perspective," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 717-742, February.
    4. Rui Zhou & Daniel P. Palomar, 2020. "Solving High-Order Portfolios via Successive Convex Approximation Algorithms," Papers 2008.00863, arXiv.org.
    5. Tao Pham Dinh & Yi-Shuai Niu, 2011. "An efficient DC programming approach for portfolio decision with higher moments," Computational Optimization and Applications, Springer, vol. 50(3), pages 525-554, December.
    6. Fábián, Csaba I., 2008. "Handling CVaR objectives and constraints in two-stage stochastic models," European Journal of Operational Research, Elsevier, vol. 191(3), pages 888-911, December.
    7. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2002. "CVaR models with selective hedging for international asset allocation," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1535-1561, July.
    8. Iscoe, Ian & Kreinin, Alexander & Mausser, Helmut & Romanko, Oleksandr, 2012. "Portfolio credit-risk optimization," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1604-1615.
    9. Michal Kaut & Hercules Vladimirou & Stein W. Wallace & Stavros A. Zenios, 2007. "Stability analysis of portfolio management with conditional value-at-risk," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 397-409.
    10. Andrea Beltratti & Paolo Colla, 2007. "A portfolio-based evaluation of affine term structure models," Annals of Operations Research, Springer, vol. 151(1), pages 193-222, April.
    11. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.

  16. Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2001. "The Value of Integrative Risk Management for Insurance Products with Guarantees," Center for Financial Institutions Working Papers 01-06, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. Consiglio, Andrea & Saunders, David & Zenios, Stavros A., 2006. "Asset and liability management for insurance products with minimum guarantees: The UK case," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 645-667, February.
    2. Eling, Martin & Gatzert, Nadine & Schmeiser, Hato, 2009. "Minimum standards for investment performance: A new perspective on non-life insurer solvency," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 113-122, August.
    3. Christian Eckert, 2019. "Dealing with Low Interest Rates in Life Insurance: An Analysis of Additional Reserves in the German Life Insurance Industry," JRFM, MDPI, vol. 12(3), pages 1-20, July.
    4. Matkovskyy, Roman & Jalan, Akanksha & Dowling, Michael & Bouraoui, Taoufik, 2021. "From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks," Finance Research Letters, Elsevier, vol. 38(C).
    5. Robert Marschinski & Pietro Rossi & Massimo Tavoni & Flavio Cocco, 2007. "Portfolio selection with probabilistic utility," Annals of Operations Research, Springer, vol. 151(1), pages 223-239, April.
    6. Consiglio, Andrea & De Giovanni, Domenico, 2008. "Evaluation of insurance products with guarantee in incomplete markets," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 332-342, February.
    7. Nalan Gülpınar & Dessislava Pachamanova & Ethem Çanakoğlu, 2016. "A robust asset–liability management framework for investment products with guarantees," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(4), pages 1007-1041, October.
    8. Guastaroba, Gianfranco & Mansini, Renata & Speranza, M. Grazia, 2009. "On the effectiveness of scenario generation techniques in single-period portfolio optimization," European Journal of Operational Research, Elsevier, vol. 192(2), pages 500-511, January.
    9. Andrea Consiglio & Flavio Cocco & Stavros Zenios, 2007. "Scenario optimization asset and liability modelling for individual investors," Annals of Operations Research, Springer, vol. 152(1), pages 167-191, July.
    10. Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2004. "www.Personal_Asset_Allocation," Interfaces, INFORMS, vol. 34(4), pages 287-302, August.

  17. Norbert Jobst & Stavros A. Zenios, 2001. "Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities," Center for Financial Institutions Working Papers 01-25, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. Norbert J. Jobst & Stavros A. Zenios, 2001. "The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 3(1), pages 31-43, April.
    2. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2008. "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England.
    3. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group.
    4. Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.
    5. Colin Turfus, 2018. "Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing," IJFS, MDPI, vol. 6(2), pages 1-20, April.

  18. Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2001. "Asset and Liability Modeling for Participating Policies with Guarantees," Center for Financial Institutions Working Papers 00-41, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. Lin, Hongcan & Saunders, David & Weng, Chengguo, 2017. "Optimal investment strategies for participating contracts," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 137-155.
    2. Eling, Martin & Gatzert, Nadine & Schmeiser, Hato, 2009. "Minimum standards for investment performance: A new perspective on non-life insurer solvency," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 113-122, August.
    3. Gülpinar, Nalan & Pachamanova, Dessislava, 2013. "A robust optimization approach to asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2031-2041.
    4. Pierre Devolder & Sébastien De Valeriola, 2017. "Minimum Protection in DC Funding Pension Plans and Margrabe Options," Risks, MDPI, vol. 5(1), pages 1-14, January.
    5. Chi Chiu Chu & Yue Kuen Kwok, 2006. "Pricing Participating Policies With Rate Guarantees," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 517-532.
    6. de Lange, Petter E. & Fleten, Stein-Erik & Gaivoronski, Alexei A., 2004. "Modeling financial reinsurance in the casualty insurance business via stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 991-1012, February.
    7. Xie, Shuxiang, 2009. "Continuous-time mean-variance portfolio selection with liability and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 148-155, August.
    8. Nalan Gülpınar & Dessislava Pachamanova & Ethem Çanakoğlu, 2016. "A robust asset–liability management framework for investment products with guarantees," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(4), pages 1007-1041, October.
    9. Martin Eling & Dieter Kiesenbauer, 2012. "Does Surplus Participation Reflect Market Discipline? An Analysis of the German Life Insurance Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(3), pages 159-185, December.
    10. Yao, Haixiang & Lai, Yongzeng & Li, Yong, 2013. "Continuous-time mean–variance asset–liability management with endogenous liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 6-17.
    11. Anne Pedersen & Alex Weissensteiner & Rolf Poulsen, 2013. "Financial planning for young households," Annals of Operations Research, Springer, vol. 205(1), pages 55-76, May.
    12. Kleinow, Torsten, 2009. "Valuation and hedging of participating life-insurance policies under management discretion," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 78-87, February.
    13. Goecke, Oskar, 2011. "Sparprozesse mit kollektivem Risikoausgleich," Forschung am ivwKöln 1/2011, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.
    14. Christopher Bayliss & Marti Serra & Armando Nieto & Angel A. Juan, 2020. "Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities," Risks, MDPI, vol. 8(4), pages 1-14, December.
    15. Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2015. "Designing and pricing guarantee options in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 267-279.

  19. Marida Bertocchi & Rosella Giacometti & Stavros A. Zenios, 2000. "Risk Factor Analysis and Portfolio Immunization in the Corporate Bond Market," Center for Financial Institutions Working Papers 00-40, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. Sergio Ortobelli & Sebastiano Vitali & Marco Cassader & Tomáš Tichý, 2018. "Portfolio selection strategy for fixed income markets with immunization on average," Annals of Operations Research, Springer, vol. 260(1), pages 395-415, January.
    2. Mr. Iryna V. Ivaschenko & Mr. Jorge A Chan-Lau, 2001. "Corporate Bond Risk and Real Activity: An Empirical Analysis of Yield Spreads and Their Systematic Components," IMF Working Papers 2001/158, International Monetary Fund.
    3. Eliseo Navarro & Juan M. Nave, 1997. "A two-factor duration model for interest rate risk management," Investigaciones Economicas, Fundación SEPI, vol. 21(1), pages 55-74, January.
    4. Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany.
    5. Andrea Roncoroni & Stefano Galluccio & Paolo Guiotto, 2010. "Shape factors and cross-sectional risk," Post-Print hal-00736733, HAL.
    6. Núñez-Mora, José A. & Martínez Reyes, Carlos A., 2012. "Nonparametric Specification Testing for Continuous Time Models for Interest Rates in Mexico," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(14), pages 7-27, primer se.
    7. Antoine Kopp & Rebecca Westphal & Didier Sornette, 2022. "Agent-based model generating stylized facts of fixed income markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(4), pages 947-992, October.
    8. Roberta Fiori & Simonetta Iannotti, 2006. "Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure," Temi di discussione (Economic working papers) 602, Bank of Italy, Economic Research and International Relations Area.
    9. Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, University Library of Munich, Germany.

  20. Andreas C. Soteriou & Stavros A. Zenios, 2000. "Searching for the Value of Quality in Financial Services," Center for Financial Institutions Working Papers 00-39, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. Nicolau, Juan Luis & Sellers, Ricardo, 2010. "The quality of quality awards: Diminishing information asymmetries in a hotel chain," Journal of Business Research, Elsevier, vol. 63(8), pages 832-839, August.
    2. Nicolau, Juan L., 2011. "The decision to raise firm value through a sports-business exchange: How much are Real Madrid's goals worth to its president's company's goals?," European Journal of Operational Research, Elsevier, vol. 215(1), pages 281-288, November.
    3. Nicolau, Juan Luis & Sellers, Ricardo, 2002. "The stock market's reaction to quality certification: Empirical evidence from Spain," European Journal of Operational Research, Elsevier, vol. 142(3), pages 632-641, November.
    4. Beatriz Cuellar Fernandez & Yolanda Fuertes Callen & Jose Antonio Lainez Gadea, 2011. "Stock Price Reaction to Non-financial News in European Technology Companies," European Accounting Review, Taylor & Francis Journals, vol. 20(1), pages 81-111.

  21. Andrea Beltratti & Andrea Laurent & Stavros A. Zenios, 1999. "Scenario Modeling of Selective Hedging Strategies," Center for Financial Institutions Working Papers 99-15, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. Yun, Won-Cheol, 2006. "Selective hedging strategies for oil stockpiling," Energy Policy, Elsevier, vol. 34(18), pages 3495-3504, December.

  22. Patrick T. Harker & Stavros A. Zenios, 1998. "What Drives the Performance of Financial Institutions?," Center for Financial Institutions Working Papers 98-21, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. Helmi Hamdi, 2015. "Financial Reform and Economic Development," Economies, MDPI, vol. 3(4), pages 1-2, December.
    2. Helmi Hamdi, 2011. "Can E-Payment Systems Revolutionize Finance of the Less Developed Countries? The Case of Mobile Payment Technology," International Journal of Economics and Financial Issues, Econjournals, vol. 1(2), pages 46-53, June.
    3. Kerstens, Kristiaan & Van de Woestyne, Ignace, 2009. "Negative Data in DEA: A Simple Proportional Distance Function Approach," Working Papers 2009/04, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    4. Kerstens, Kristiaan & Bouye, Ahmed Moulaye Hachem & Van de Woestyne, Ignace & Vestergaard, Niels, 2008. "Optimal capacity utilization and reallocation in a German bank branch network: Exploring some strategic scenarios," Working Papers 2008/59, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    5. Marion Frenz & Claudia Girardone & Grazia Ietto-Gillies, 2005. "Multinationality Matters in Innovation: The Case of the UK Financial Services," Industry and Innovation, Taylor & Francis Journals, vol. 12(1), pages 65-92.
    6. Annie bellier & Wafa Sayeh & Stéphanie Serve, 2012. "What lies behind credit rationing? A survey of the literature," THEMA Working Papers 2012-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    7. Bijoy Rakshit, 2021. "Evaluating Profitability and Marketability Efficiency: A Case of Indian Commercial Banks," Global Business Review, International Management Institute, vol. 22(4), pages 977-995, August.
    8. Hsiao, Hsing-Chin & Chang, Hsihui & Cianci, Anna M. & Huang, Li-Hua, 2010. "First Financial Restructuring and operating efficiency: Evidence from Taiwanese commercial banks," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1461-1471, July.

  23. Andrea Beltratti & Andrea Consiglio & Stavros A. Zenios, 1998. "Scenario Modeling for the Management of International Bond Portfolios," Center for Financial Institutions Working Papers 98-20, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. Vladislav Kargin, 2002. "On Bond Portfolio Management," Papers math/0208130, arXiv.org, revised Mar 2003.
    2. Vladislav Kargin, 2003. "Portfolio Management for a Random Field of Bond Returns," Finance 0310007, University Library of Munich, Germany.
    3. Yonghan Feng & Sarah Ryan, 2016. "Solution sensitivity-based scenario reduction for stochastic unit commitment," Computational Management Science, Springer, vol. 13(1), pages 29-62, January.
    4. Frauendorfer, Karl & Schurle, Michael, 2003. "Management of non-maturing deposits by multistage stochastic programming," European Journal of Operational Research, Elsevier, vol. 151(3), pages 602-616, December.
    5. Andrea Beltratti & Paolo Colla, 2007. "A portfolio-based evaluation of affine term structure models," Annals of Operations Research, Springer, vol. 151(1), pages 193-222, April.
    6. Nonthachote Chatsanga & Andrew J. Parkes, 2016. "International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints," Papers 1611.01463, arXiv.org.

  24. Antreas D. Athanassopoulos & Andreas Soteriou & Stavros Zenios, 1997. "Disentangling Within- and Between-Country Efficiency Differences of Bank Branches," Center for Financial Institutions Working Papers 97-17, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. Kerstens, Kristiaan & Bouye, Ahmed Moulaye Hachem & Van de Woestyne, Ignace & Vestergaard, Niels, 2008. "Optimal capacity utilization and reallocation in a German bank branch network: Exploring some strategic scenarios," Working Papers 2008/59, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    2. Hadjicostas, Petros & Soteriou, Andreas C., 2006. "One-sided elasticities and technical efficiency in multi-output production: A theoretical framework," European Journal of Operational Research, Elsevier, vol. 168(2), pages 425-449, January.
    3. Denise McEachern & Joseph Paradi, 2007. "Intra- and inter-country bank branch assessment using DEA," Journal of Productivity Analysis, Springer, vol. 27(2), pages 123-136, April.
    4. M. S. Krishnan & Venkatram Ramaswamy & Mary C. Meyer & Paul Damien, 1999. "Customer Satisfaction for Financial Services: The Role of Products, Services, and Information Technology," Management Science, INFORMS, vol. 45(9), pages 1194-1209, September.
    5. Andreas Soteriou & Stavros A. Zenios, 1999. "Operations, Quality, and Profitability in the Provision of Banking Services," Management Science, INFORMS, vol. 45(9), pages 1221-1238, September.
    6. Sofronis Clerides, 2014. "The Collapse of the Cypriot Banking System: A Bird’s Eye View," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 8(2), pages 3-35, December.
    7. Stavros Zenios & Andreas Soteriou, "undated". "Efficiency, Profitability and Quality of Banking Services," Center for Financial Institutions Working Papers 97-28, Wharton School Center for Financial Institutions, University of Pennsylvania.

  25. Stavros Zenios & Andreas Soteriou, "undated". "Efficiency, Profitability and Quality of Banking Services," Center for Financial Institutions Working Papers 97-28, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Cited by:

    1. Dr. Nader Alber, 2011. "The Effect Of Banking Expansion On Profit Efficiency Of Saudi Arabia Commercial Banks," Journal of Global Business and Economics, Global Research Agency, vol. 3(1), pages 11-23, July.
    2. Said Jaouadi & Ilhem Zorgui, 2014. "Exploring Effectiveness and Efficiency of Banks in Switzerland," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(4), pages 313-325, April.
    3. BARBULLUSHI, Erjola, 2022. "Empirical Research On Bank Performance Evaluation Albanian Banking System," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 10(1), pages 99-107, October.

Articles

  1. Gala, Vito D. & Pagliardi, Giovanni & Zenios, Stavros A., 2023. "Global political risk and international stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 78-102.

    Cited by:

    1. Abdollahi, Hooman & Junttila, Juha-Pekka & Lehkonen, Heikki, 2024. "Clustering asset markets based on volatility connectedness to political news," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
    2. Somayyeh Lotfi & Stavros A. Zenios, 2024. "Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance," Review of Managerial Science, Springer, vol. 18(7), pages 2115-2140, July.
    3. Umar, Zaghum & Zaremba, Adam & Umutlu, Mehmet & Mercik, Aleksander, 2024. "Interaction effects in the cross-section of country and industry returns," Journal of Banking & Finance, Elsevier, vol. 165(C).
    4. Yunpeng Su & Jia Li & Baochen Yang & Yunbi An, 2024. "The Impacts of Policy Uncertainty on Asset Prices: Evidence from China’s Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 1087-1133, December.

  2. Alberola, Enrique & Cheng, Gong & Consiglio, Andrea & Zenios, Stavros A., 2023. "Unconventional monetary policy and debt sustainability in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 69(C).

    Cited by:

    1. António Afonso & Francisco Gomes-Pereira, 2024. "Does monetary policy influence euro area fiscal sustainability?," Working Papers REM 2024/0335, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    2. Lotfi, Somayyeh & Milidonis, Andreas & Zenios, Stavros A., 2024. "Mispricing of debt expansion in the eurozone sovereign credit market," Journal of Financial Stability, Elsevier, vol. 70(C).

  3. Stavros A. Zenios, 2022. "The risks from climate change to sovereign debt," Climatic Change, Springer, vol. 172(3), pages 1-19, June.

    Cited by:

    1. Yuqin Zhou & Shan Wu & Zhenhua Liu & Lavinia Rognone, 2023. "The asymmetric effects of climate risk on higher-moment connectedness among carbon, energy and metals markets," Nature Communications, Nature, vol. 14(1), pages 1-16, December.
    2. Maximilian Kellner & Marco Runkel, 2024. "Climate policy and optimal public debt," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 31(6), pages 1584-1610, December.
    3. Angela Köppl & Margit Schratzenstaller, 2024. "Policy Brief: Budgetäre Kosten und Risiken durch klimapolitisches Nichthandeln und Klimarisiken," WIFO Studies, WIFO, number 70821, January.
    4. João Tovar Jalles, 2020. "Financial Crises and Climate Change," Working Papers REM 2020/0131, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    5. Philipp Heimberger, 2023. "Öffentliche Investitionen und Sozialstaat: Perspektiven der Budgetpolitik im Kontext von Energiekrise, Klimawandel und EU-Budgetregeln," wiiw Policy Notes 65, The Vienna Institute for International Economic Studies, wiiw.
    6. Phemelo Tamasiga & Malesela Molala & Malebogo Bakwena & Hugue Nkoutchou & Helen Onyeaka, 2023. "Is Africa Left behind in the Global Climate Finance Architecture: Redefining Climate Vulnerability and Revamping the Climate Finance Landscape—A Comprehensive Review," Sustainability, MDPI, vol. 15(17), pages 1-26, August.
    7. Di Tommaso, Caterina & Foglia, Matteo & Pacelli, Vincenzo, 2023. "The impact and the contagion effect of natural disasters on sovereign credit risk. An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 87(C).
    8. Naifar, Nader, 2024. "Spillover among Sovereign Credit Risk and the Role of Climate Uncertainty," Finance Research Letters, Elsevier, vol. 61(C).
    9. Peter von zur Muehlen, 2022. "Prices and Taxes in a Ramsey Climate Policy Model under Heterogeneous Beliefs and Ambiguity," Economies, MDPI, vol. 10(10), pages 1-56, October.
    10. Andrea Consiglio & Akis Kikas & Odysseas P. Michaelides & Stavros A. Zenios, 2024. "Auditing Public Debt Using Risk Management," Interfaces, INFORMS, vol. 54(2), pages 103-126, March.
    11. Lee, Chien-Chiang & Wang, Chih-Wei & Thinh, Bui Tien, 2023. "Green development, climate risks, and cash flow: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    12. Angela Köppl & Stefan Schleicher & Margit Schratzenstaller, 2023. "Klima- und umweltrelevante öffentliche Ausgaben in Österreich," WIFO Working Papers 655, WIFO.
    13. Damette, Olivier & Mathonnat, Clément & Thavard, Julien, 2024. "Climate and sovereign risk: The Latin American experience with strong ENSO events," World Development, Elsevier, vol. 178(C).
    14. Assoumou-Ella, Giscard & Nkah-Ella, Cédric, 2024. "Climate change, governance, and macroeconomic stability: Empirical analysis in a panel of African countries," Emerging Markets Review, Elsevier, vol. 61(C).
    15. Karydas, Christos & Xepapadeas, Anastasios, 2022. "Climate change financial risks: Implications for asset pricing and interest rates," Journal of Financial Stability, Elsevier, vol. 63(C).
    16. Fentaw Leykun, 2024. "Climate change and external debt vulnerability: the case of Sub-Saharan Africa," Journal of Innovation and Entrepreneurship, Springer, vol. 13(1), pages 1-27, December.
    17. Caterina Seghini & Stéphane Dees, 2024. "The Green Transition and Public Finances," Working papers 949, Banque de France.
    18. Alessi, Lucia & Battiston, Stefano, 2022. "Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios," International Review of Financial Analysis, Elsevier, vol. 84(C).
    19. Srdelic, Leonarda, 2024. "Pregled klimatskih projekcija za Hrvatsku i njihovih utjecaja na gospodarstvo i financijski sustav [Overview of climate projections for Croatia and their impact on the economy and financial system]," MPRA Paper 121319, University Library of Munich, Germany.

  4. Stavros A. Zenios & Andrea Consiglio & Marialena Athanasopoulou & Edmund Moshammer & Angel Gavilan & Aitor Erce, 2021. "Risk Management for Sustainable Sovereign Debt Financing," Operations Research, INFORMS, vol. 69(3), pages 755-773, May.

    Cited by:

    1. Alberola, Enrique & Cheng, Gong & Consiglio, Andrea & Zenios, Stavros A., 2023. "Unconventional monetary policy and debt sustainability in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 69(C).
    2. Lotfi, Somayyeh & Milidonis, Andreas & Zenios, Stavros A., 2024. "Mispricing of debt expansion in the eurozone sovereign credit market," Journal of Financial Stability, Elsevier, vol. 70(C).
    3. Enrique Alberola-Ila & Gong Cheng & Andrea Consiglio & Stavros A. Zenios, 2022. "Debt sustainability and monetary policy: the case of ECB asset purchases," BIS Working Papers 1034, Bank for International Settlements.

  5. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.

    Cited by:

    1. Pagnoncelli, Bernardo K. & Homem-de-Mello, Tito & Lagos, Guido & Castañeda, Pablo & García, Javier, 2024. "Solving constrained consumption–investment problems by decomposition algorithms," European Journal of Operational Research, Elsevier, vol. 319(1), pages 292-302.
    2. Xiaole Wan & Zhen Zhang & Chi Zhang & Qingchun Meng, 2020. "Stock Market Temporal Complex Networks Construction, Robustness Analysis, and Systematic Risk Identification: A Case of CSI 300 Index," Complexity, Hindawi, vol. 2020, pages 1-19, July.
    3. Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Boubaker, Sabri & Moussa, Faten, 2023. "Does green improve portfolio optimisation?," Energy Economics, Elsevier, vol. 124(C).
    4. Barro, Diana & Consigli, Giorgio & Varun, Vivek, 2022. "A stochastic programming model for dynamic portfolio management with financial derivatives," Journal of Banking & Finance, Elsevier, vol. 140(C).
    5. Luan, Fei & Zhang, Weiguo & Liu, Yongjun, 2022. "Robust international portfolio optimization with worst‐case mean‐CVaR," European Journal of Operational Research, Elsevier, vol. 303(2), pages 877-890.

  6. Maria Demertzis & Stavros A Zenios, 2019. "State Contingent Debt as Insurance for Euro Area Sovereigns," Journal of Financial Regulation, Oxford University Press, vol. 5(1), pages 64-90.
    See citations under working paper version above.
  7. Lotfi, Somayyeh & Zenios, Stavros A., 2018. "Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances," European Journal of Operational Research, Elsevier, vol. 269(2), pages 556-576.

    Cited by:

    1. Kobayashi, Ken & Takano, Yuichi & Nakata, Kazuhide, 2023. "Cardinality-constrained distributionally robust portfolio optimization," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1173-1182.
    2. Dimitris Andriosopoulos & Michael Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Post-Print hal-02880149, HAL.
    3. Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
    4. Ebenezer Fiifi Emire Atta Mills & Bo Yu & Kailin Zeng, 2019. "Satisfying Bank Capital Requirements: A Robustness Approach in a Modified Roy Safety-First Framework," Mathematics, MDPI, vol. 7(7), pages 1-20, July.
    5. Yan Gu & Jianlin Jiang & Shun Zhang, 2023. "Distributionally robust Weber problem with uncertain demand," Computational Optimization and Applications, Springer, vol. 85(3), pages 705-752, July.
    6. Somayyeh Lotfi & Stavros A. Zenios, 2024. "Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance," Review of Managerial Science, Springer, vol. 18(7), pages 2115-2140, July.
    7. Black, Ben & Ainslie, Russell & Dokka, Trivikram & Kirkbride, Christopher, 2023. "Distributionally robust resource planning under binomial demand intakes," European Journal of Operational Research, Elsevier, vol. 306(1), pages 227-242.
    8. Ghahtarani, Alireza & Saif, Ahmed & Ghasemi, Alireza, 2024. "Worst-case Conditional Value at Risk for asset liability management: A framework for general loss functions," European Journal of Operational Research, Elsevier, vol. 318(2), pages 500-519.
    9. Chen, Chen & Liu, Dinghao & Xian, Liang & Pan, Lin & Wang, Lihua & Yang, Min & Quan, Li, 2020. "Best-case scenario robust portfolio for energy stock market," Energy, Elsevier, vol. 213(C).
    10. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
    11. Julio Cezar Soares Silva & Adiel Teixeira de Almeida Filho, 2023. "A systematic literature review on solution approaches for the index tracking problem in the last decade," Papers 2306.01660, arXiv.org, revised Jun 2023.
    12. Pei, Zhi & Lu, Haimin & Jin, Qingwei & Zhang, Lianmin, 2022. "Target-based distributionally robust optimization for single machine scheduling," European Journal of Operational Research, Elsevier, vol. 299(2), pages 420-431.
    13. Zhuo, Wenyan & Shao, Lusheng & Yang, Honglin, 2018. "Mean–variance analysis of option contracts in a two-echelon supply chain," European Journal of Operational Research, Elsevier, vol. 271(2), pages 535-547.
    14. Luan, Fei & Zhang, Weiguo & Liu, Yongjun, 2022. "Robust international portfolio optimization with worst‐case mean‐CVaR," European Journal of Operational Research, Elsevier, vol. 303(2), pages 877-890.
    15. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.
    16. Kaiqiang An & Guiyu Zhao & Jinjun Li & Jingsong Tian & Lihua Wang & Liang Xian & Chen Chen, 2023. "Best-Case Scenario Robust Portfolio: Evidence from China Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 297-322, June.
    17. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.

  8. Consiglio Andrea & Zenios Stavros A., 2018. "Contingent Convertible Bonds for Sovereign Debt Risk Management," Journal of Globalization and Development, De Gruyter, vol. 9(1), pages 1-24, June.

    Cited by:

    1. Volz, Ulrich, 2022. "On the potential of sovereign state-contingent debt in contributing to better public debt management and enhancing sustainability outcomes," LSE Research Online Documents on Economics 122922, London School of Economics and Political Science, LSE Library.
    2. Song Jiaxin, 2023. "Announcement Effect Study of Issuing Tier 2 Capital Bonds on the Stock Price of China Construction Bank," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(6), pages 1-4.
    3. Juan Carlos Hatchondo & Leonardo Martinez & Yasin Kürsat Önder & Francisco Roch, 2024. "Sovereign CoCos and debt forgiveness," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1096, Ghent University, Faculty of Economics and Business Administration.

  9. Andrea Consiglio & Michele Tumminello & Stavros A. Zenios, 2018. "Pricing Sovereign Contingent Convertible Debt," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-36, December.
    See citations under working paper version above.
  10. Andrea Consiglio & Somayyeh Lotfi & Stavros A. Zenios, 2018. "Portfolio diversification in the sovereign credit swap markets," Annals of Operations Research, Springer, vol. 266(1), pages 5-33, July.
    See citations under working paper version above.
  11. Consiglio, Andrea & Zenios, Stavros A., 2018. "Pricing and hedging GDP-linked bonds in incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 137-155.
    See citations under working paper version above.
  12. Andrea Consiglio & Angelo Carollo & Stavros A. Zenios, 2016. "A parsimonious model for generating arbitrage-free scenario trees," Quantitative Finance, Taylor & Francis Journals, vol. 16(2), pages 201-212, February.

    Cited by:

    1. Consiglio, Andrea & Zenios, Stavros A., 2018. "Pricing and hedging GDP-linked bonds in incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 137-155.
    2. Samantha Ajovalasit & Andrea Consiglio & Davide Provenzano, 2024. "Debt Sustainability in the Context of Population Ageing: A Risk Management Approach," Risks, MDPI, vol. 12(12), pages 1-23, November.
    3. Das, Sanjiv R. & Ostrov, Daniel & Radhakrishnan, Anand & Srivastav, Deep, 2022. "Dynamic optimization for multi-goals wealth management," Journal of Banking & Finance, Elsevier, vol. 140(C).
    4. Pöstges, Arne & Weber, Christoph, 2019. "Time series aggregation – A new methodological approach using the “peak-load-pricing” model," Utilities Policy, Elsevier, vol. 59(C), pages 1-1.
    5. Stavros A. Zenios & Andrea Consiglio & Marialena Athanasopoulou & Edmund Moshammer & Angel Gavilan & Aitor Erce, 2021. "Risk Management for Sustainable Sovereign Debt Financing," Operations Research, INFORMS, vol. 69(3), pages 755-773, May.
    6. Owadally, Iqbal & Jang, Chul & Clare, Andrew, 2021. "Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1132-1146.
    7. Marialena Athanasopoulou & Andrea Consiglio & Aitor Erce & Angel Gavilan & Edmund Moshammer & Stavros A. Zenios, 2019. "Risk Management for Sovereign Debt Financing with Sustainability Conditions," Globalization Institute Working Papers 367, Federal Reserve Bank of Dallas.
    8. Zhe Yan & Zhiping Chen & Giorgio Consigli & Jia Liu & Ming Jin, 2020. "A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems," Annals of Operations Research, Springer, vol. 292(2), pages 849-881, September.
    9. Alberola, Enrique & Cheng, Gong & Consiglio, Andrea & Zenios, Stavros A., 2023. "Unconventional monetary policy and debt sustainability in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 69(C).
    10. Yu Mei & Zhiping Chen & Jia Liu & Bingbing Ji, 2022. "Multi-stage portfolio selection problem with dynamic stochastic dominance constraints," Journal of Global Optimization, Springer, vol. 83(3), pages 585-613, July.
    11. Andrea Consiglio & Akis Kikas & Odysseas P. Michaelides & Stavros A. Zenios, 2024. "Auditing Public Debt Using Risk Management," Interfaces, INFORMS, vol. 54(2), pages 103-126, March.
    12. Barro, Diana & Consigli, Giorgio & Varun, Vivek, 2022. "A stochastic programming model for dynamic portfolio management with financial derivatives," Journal of Banking & Finance, Elsevier, vol. 140(C).
    13. Xiaolei He & Weiguo Zhang, 2024. "Vine copula‐based scenario tree generation approaches for portfolio optimization," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1936-1955, September.
    14. Isha Chopra & Dharmaraja Selvamuthu, 2020. "Scenario generation in stochastic programming using principal component analysis based on moment-matching approach," OPSEARCH, Springer;Operational Research Society of India, vol. 57(1), pages 190-201, March.
    15. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.
    16. Enrique Alberola-Ila & Gong Cheng & Andrea Consiglio & Stavros A. Zenios, 2022. "Debt sustainability and monetary policy: the case of ECB asset purchases," BIS Working Papers 1034, Bank for International Settlements.

  13. Consiglio Andrea & Zenios Stavros A., 2015. "Risk Management Optimization for Sovereign Debt Restructuring," Journal of Globalization and Development, De Gruyter, vol. 6(2), pages 181-213, December.
    See citations under working paper version above.
  14. Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2015. "Designing and pricing guarantee options in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 267-279.

    Cited by:

    1. Chul Jang & Andrew Clare & Iqbal Owadally, 2024. "Liability-driven investment for pension funds: stochastic optimization with real assets," Risk Management, Palgrave Macmillan, vol. 26(3), pages 1-32, September.
    2. Owadally, Iqbal & Jang, Chul & Clare, Andrew, 2021. "Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1132-1146.
    3. Pierre Devolder & Sébastien De Valeriola, 2017. "Minimum Protection in DC Funding Pension Plans and Margrabe Options," Risks, MDPI, vol. 5(1), pages 1-14, January.
    4. Zhe Yan & Zhiping Chen & Giorgio Consigli & Jia Liu & Ming Jin, 2020. "A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems," Annals of Operations Research, Springer, vol. 292(2), pages 849-881, September.
    5. Ghahtarani, Alireza & Saif, Ahmed & Ghasemi, Alireza, 2024. "Worst-case Conditional Value at Risk for asset liability management: A framework for general loss functions," European Journal of Operational Research, Elsevier, vol. 318(2), pages 500-519.
    6. Sebastiano Vitali & Vittorio Moriggia & Miloš Kopa, 2017. "Optimal pension fund composition for an Italian private pension plan sponsor," Computational Management Science, Springer, vol. 14(1), pages 135-160, January.

  15. Andrea Consiglio & Stavros Zenios, 2015. "Risk profiles for re-profiling the sovereign debt of crisis countries," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 16(1), pages 2-26, January.
    See citations under working paper version above.
  16. Stavros A. Zenios, 2013. "The Cyprus Debt: Perfect Crisis and a Way Forward," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 7(1), pages 3-45, June.
    See citations under working paper version above.
  17. Nina Gorovaia & Stavros A. Zenios, 2013. "Does freedom lead to happiness? Economic growth and quality of life," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 15(2/3), pages 309-323.

    Cited by:

    1. K. K. Tripathy & Manisha Paliwal & Anshu Singh, 2022. "Women’s social entrepreneurship and livelihood innovation: an exploratory study from India," Service Business, Springer;Pan-Pacific Business Association, vol. 16(4), pages 863-881, December.
    2. Octaviano Rojas Luiz & Enzo Barberio Mariano & Hermes Moretti Ribeiro da Silva, 2021. "Pro-Poor Innovations to Promote Instrumental Freedoms: A Systematic Literature Review," Sustainability, MDPI, vol. 13(24), pages 1-22, December.

  18. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.

    Cited by:

    1. Matmoura, Yassine & Penev, Spiridon, 2013. "Multistage optimization of option portfolio using higher order coherent risk measures," European Journal of Operational Research, Elsevier, vol. 227(1), pages 190-198.
    2. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    3. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
    4. Marco Cassader & Sergio Ortobelli Lozza, 2013. "Portfolio selection with options," Working Papers (2013-) 1303_qum, University of Bergamo, Department of Management, Economics and Quantitative Methods.
    5. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    6. Yu, Xing & Zhang, Wei Guo & Liu, Yong Jun & Wang, Xinxin & Wang, Chao, 2020. "Hedging the exchange rate risk for international portfolios," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 173(C), pages 85-104.
    7. Zhu, Shushang & Zhu, Wei & Pei, Xi & Cui, Xueting, 2020. "Hedging crash risk in optimal portfolio selection," Journal of Banking & Finance, Elsevier, vol. 119(C).
    8. Bajo, Emanuele & Barbi, Massimiliano & Romagnoli, Silvia, 2014. "Optimal corporate hedging using options with basis and production risk," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 56-71.
    9. Margarita E. Fatyanova & Mikhail E. Semenov, 2017. "Model for Constructing an Options Portfolio with a Certain Payoff Function," Papers 1707.02087, arXiv.org.
    10. Fengmin Xu & Jieao Ma, 2023. "Intelligent option portfolio model with perspective of shadow price and risk-free profit," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
    11. Barro, Diana & Consigli, Giorgio & Varun, Vivek, 2022. "A stochastic programming model for dynamic portfolio management with financial derivatives," Journal of Banking & Finance, Elsevier, vol. 140(C).
    12. Luan, Fei & Zhang, Weiguo & Liu, Yongjun, 2022. "Robust international portfolio optimization with worst‐case mean‐CVaR," European Journal of Operational Research, Elsevier, vol. 303(2), pages 877-890.
    13. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.

  19. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "Pricing options on scenario trees," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 283-298, February.

    Cited by:

    1. Consiglio, Andrea & Carollo, Angelo & Zenios, Stavros A., 2014. "Generating Multi-factor Arbitrage-Free Scenario Trees with Global Optimization," Working Papers 13-35, University of Pennsylvania, Wharton School, Weiss Center.
    2. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
    3. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    4. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2706-2715, December.
    5. Câmara, António, 2009. "Two counters of jumps," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 456-463, March.
    6. Xu, Weidong & Wu, Chongfeng & Li, Hongyi, 2011. "Accounting for the impact of higher order moments in foreign equity option pricing model," Economic Modelling, Elsevier, vol. 28(4), pages 1726-1729, July.
    7. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    8. Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany.
    9. Câmara, António & Krehbiel, Tim & Li, Weiping, 2011. "Expected returns, risk premia, and volatility surfaces implicit in option market prices," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 215-230, January.
    10. Weissensteiner, Alex, 2010. "Using the Black-Derman-Toy interest rate model for portfolio optimization," European Journal of Operational Research, Elsevier, vol. 202(1), pages 175-181, April.
    11. Sun, Qi & Dong, Yucheng & Xu, Weidong, 2013. "Effects of higher order moments on the newsvendor problem," International Journal of Production Economics, Elsevier, vol. 146(1), pages 167-177.
    12. Barro, Diana & Consigli, Giorgio & Varun, Vivek, 2022. "A stochastic programming model for dynamic portfolio management with financial derivatives," Journal of Banking & Finance, Elsevier, vol. 140(C).
    13. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.
    14. Sorwar, Ghulam & Dowd, Kevin, 2010. "Estimating financial risk measures for options," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1982-1992, August.

  20. Consiglio, Andrea & Cocco, Flavio & Zenios, Stavros A., 2008. "Asset and liability modelling for participating policies with guarantees," European Journal of Operational Research, Elsevier, vol. 186(1), pages 380-404, April.
    See citations under working paper version above.
  21. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "A dynamic stochastic programming model for international portfolio management," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1501-1524, March.

    Cited by:

    1. Wong, Man Hong, 2013. "Investment models based on clustered scenario trees," European Journal of Operational Research, Elsevier, vol. 227(2), pages 314-324.
    2. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    3. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
    4. Das, Sanjiv R. & Ostrov, Daniel & Radhakrishnan, Anand & Srivastav, Deep, 2022. "Dynamic optimization for multi-goals wealth management," Journal of Banking & Finance, Elsevier, vol. 140(C).
    5. Borodin, Valeria & Bourtembourg, Jean & Hnaien, Faicel & Labadie, Nacima, 2015. "A multi-step rolled forward chance-constrained model and a proactive dynamic approach for the wheat crop quality control problem," European Journal of Operational Research, Elsevier, vol. 246(2), pages 631-640.
    6. Raquel Fonseca & Wolfram Wiesemann & Berç Rustem, 2012. "Robust international portfolio management," Computational Management Science, Springer, vol. 9(1), pages 31-62, February.
    7. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
    8. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    9. Zinan Hu & Ruicheng Yang & Sumuya Borjigin, 2024. "A multistage forecasting model for green bond cost optimization with dynamic corporate risk constraints," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2607-2634, November.
    10. Popovic, Ray & Goldsman, David, 2012. "On valuing and hedging European options when volatility is estimated directly," European Journal of Operational Research, Elsevier, vol. 218(1), pages 124-131.
    11. Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
    12. Jörgen Blomvall & Jonas Ekblom, 2018. "Corporate hedging: an answer to the “how” question," Annals of Operations Research, Springer, vol. 266(1), pages 35-69, July.
    13. Li, Xiaoyue & Uysal, A. Sinem & Mulvey, John M., 2022. "Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks," European Journal of Operational Research, Elsevier, vol. 299(3), pages 1158-1176.
    14. Salo, Ahti & Doumpos, Michalis & Liesiö, Juuso & Zopounidis, Constantin, 2024. "Fifty years of portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(1), pages 1-18.
    15. Yu Mei & Zhiping Chen & Jia Liu & Bingbing Ji, 2022. "Multi-stage portfolio selection problem with dynamic stochastic dominance constraints," Journal of Global Optimization, Springer, vol. 83(3), pages 585-613, July.
    16. Raquel J. Fonseca & Steve Zymler & Wolfram Wiesemann & Berc Rustem, 2009. "Robust Optimization of Currency Portfolios," Working Papers 012, COMISEF.
    17. Kallio, Markku & Halme, Merja & Dehghan Hardoroudi, Nasim & Aspara, Jaakko, 2022. "Transparent structured products for retail investors," European Journal of Operational Research, Elsevier, vol. 302(2), pages 752-767.
    18. Mr. Udaibir S Das & Miss Yinqiu Lu & Mr. Michael G. Papaioannou & Iva Petrova, 2012. "Sovereign Risk and Asset and Liability Management: Conceptual Issues," IMF Working Papers 2012/241, International Monetary Fund.
    19. Nonthachote Chatsanga & Andrew J. Parkes, 2017. "Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios," Papers 1704.01174, arXiv.org.
    20. Robert Ferstl & Alex Weissensteiner, 2010. "Cash management using multi-stage stochastic programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 209-219.
    21. Lu, Jin-Ray & Chan, Chih-Ming & Wen, Mei-Hui, 2012. "Which demands affect optimal international portfolio choices?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1292-1306.
    22. Sun, Qi & Dong, Yucheng & Xu, Weidong, 2013. "Effects of higher order moments on the newsvendor problem," International Journal of Production Economics, Elsevier, vol. 146(1), pages 167-177.
    23. Fonseca, Raquel J. & Rustem, Berç, 2012. "International portfolio management with affine policies," European Journal of Operational Research, Elsevier, vol. 223(1), pages 177-187.
    24. Robert Ferstl & Alexander Weissensteiner, 2011. "Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 19, pages 469-494, Palgrave Macmillan.
    25. Balibek, Emre & Köksalan, Murat, 2010. "A multi-objective multi-period stochastic programming model for public debt management," European Journal of Operational Research, Elsevier, vol. 205(1), pages 205-217, August.
    26. Davi Valladão & Thuener Silva & Marcus Poggi, 2019. "Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns," Annals of Operations Research, Springer, vol. 282(1), pages 379-405, November.
    27. Haleh Valian & Mohsen A. Jafari & Davood Golmohammadi, 2016. "Resource allocation with stochastic optimal control approach," Annals of Operations Research, Springer, vol. 239(2), pages 625-641, April.
    28. Nonthachote Chatsanga & Andrew J. Parkes, 2016. "International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints," Papers 1611.01463, arXiv.org.
    29. Xiaoyue Li & A. Sinem Uysal & John M. Mulvey, 2021. "Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks," Papers 2103.10813, arXiv.org.

  22. Michal Kaut & Hercules Vladimirou & Stein W. Wallace & Stavros A. Zenios, 2007. "Stability analysis of portfolio management with conditional value-at-risk," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 397-409.

    Cited by:

    1. Ken Kobayashi & Yuichi Takano & Kazuhide Nakata, 2021. "Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization," Journal of Global Optimization, Springer, vol. 81(2), pages 493-528, October.
    2. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
    3. Fadda, Edoardo & Perboli, Guido & Tadei, Roberto, 2019. "A progressive hedging method for the optimization of social engagement and opportunistic IoT problems," European Journal of Operational Research, Elsevier, vol. 277(2), pages 643-652.
    4. Crainic, Teodor Gabriel & Perboli, Guido & Rei, Walter & Rosano, Mariangela & Lerma, Veronica, 2024. "Capacity planning with uncertainty on contract fulfillment," European Journal of Operational Research, Elsevier, vol. 314(1), pages 152-175.
    5. Lanza, Giacomo & Crainic, Teodor Gabriel & Rei, Walter & Ricciardi, Nicoletta, 2021. "Scheduled service network design with quality targets and stochastic travel times," European Journal of Operational Research, Elsevier, vol. 288(1), pages 30-46.
    6. Pier Francesco Procacci & Tomaso Aste, 2018. "Forecasting market states," Papers 1807.05836, arXiv.org, revised May 2019.
    7. Fodstad, Marte & Midthun, Kjetil T. & Tomasgard, Asgeir, 2015. "Adding flexibility in a natural gas transportation network using interruptible transportation services," European Journal of Operational Research, Elsevier, vol. 243(2), pages 647-657.
    8. Hu, Zhengyang & Hu, Guiping, 2020. "Hybrid stochastic and robust optimization model for lot-sizing and scheduling problems under uncertainties," European Journal of Operational Research, Elsevier, vol. 284(2), pages 485-497.
    9. Lotfi, Somayyeh & Zeniosn, Stravros A., 2016. "Equivalence of Robust VaR and CVaR Optimization," Working Papers 16-03, University of Pennsylvania, Wharton School, Weiss Center.
    10. Olga Tatarnikova & Sebastien Duchene & Patrick Sentis & Marc Willinger, 2022. "Portfolio instability and socially responsible investment:experiments with financial professionals and students," CEE-M Working Papers hal-03909118, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
    11. Lotfi, Somayyeh & Zenios, Stavros A., 2018. "Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances," European Journal of Operational Research, Elsevier, vol. 269(2), pages 556-576.
    12. Richard Gerlach & Zudi Lu & Hai Huang, 2013. "Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 534-550, September.
    13. Gambella, Claudio & Maggioni, Francesca & Vigo, Daniele, 2019. "A stochastic programming model for a tactical solid waste management problem," European Journal of Operational Research, Elsevier, vol. 273(2), pages 684-694.
    14. Santos, Daniel & Marques, Inês, 2022. "Designing master surgery schedules with downstream unit integration via stochastic programming," European Journal of Operational Research, Elsevier, vol. 299(3), pages 834-852.
    15. Yuichi Takano & Keisuke Nanjo & Noriyoshi Sukegawa & Shinji Mizuno, 2015. "Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs," Computational Management Science, Springer, vol. 12(2), pages 319-340, April.
    16. Jörgen Blomvall & Jonas Ekblom, 2018. "Corporate hedging: an answer to the “how” question," Annals of Operations Research, Springer, vol. 266(1), pages 35-69, July.
    17. Michal Kaut & Stein Wallace, 2011. "Shape-based scenario generation using copulas," Computational Management Science, Springer, vol. 8(1), pages 181-199, April.
    18. Staino, Alessandro & Russo, Emilio, 2015. "A moment-matching method to generate arbitrage-free scenarios," European Journal of Operational Research, Elsevier, vol. 246(2), pages 619-630.
    19. Somayyeh Lotfi & Stavros A. Zenios, 2024. "Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance," Review of Managerial Science, Springer, vol. 18(7), pages 2115-2140, July.
    20. Weiguo Zhang & Xiaolei He, 2022. "A New Scenario Reduction Method Based on Higher-Order Moments," INFORMS Journal on Computing, INFORMS, vol. 34(4), pages 1903-1918, July.
    21. Nonthachote Chatsanga & Andrew J. Parkes, 2017. "Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios," Papers 1704.01174, arXiv.org.
    22. Anne Pedersen & Alex Weissensteiner & Rolf Poulsen, 2013. "Financial planning for young households," Annals of Operations Research, Springer, vol. 205(1), pages 55-76, May.
    23. Vit Prochazka & Stein W. Wallace, 2020. "Scenario tree construction driven by heuristic solutions of the optimization problem," Computational Management Science, Springer, vol. 17(2), pages 277-307, June.
    24. Nader Azad & Georgios Saharidis & Hamid Davoudpour & Hooman Malekly & Seyed Yektamaram, 2013. "Strategies for protecting supply chain networks against facility and transportation disruptions: an improved Benders decomposition approach," Annals of Operations Research, Springer, vol. 210(1), pages 125-163, November.
    25. Zhao, Daping & Bai, Lin & Fang, Yong & Wang, Shouyang, 2022. "Multi‐period portfolio selection with investor views based on scenario tree," Applied Mathematics and Computation, Elsevier, vol. 418(C).
    26. Jamie Fairbrother & Amanda Turner & Stein W. Wallace, 2018. "Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables," INFORMS Journal on Computing, INFORMS, vol. 30(3), pages 472-491, August.
    27. Leonard Arvi & Herman Manakyan & Kashi Khazeh, 2023. "Estimated Impact of Covid-19 on Exchange Rate Risk of Multinational Enterprises Operating in Emerging Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 13(4), pages 23-29, July.
    28. Shanshan Guo & Lei Zhao & Xiaowei Xu, 2016. "Impact of supply risks on procurement decisions," Annals of Operations Research, Springer, vol. 241(1), pages 411-430, June.
    29. Cesarone, Francesco & Mango, Fabiomassimo & Mottura, Carlo Domenico & Ricci, Jacopo Maria & Tardella, Fabio, 2020. "On the stability of portfolio selection models," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 210-234.
    30. Elçin Çetinkaya & Aurélie Thiele, 2016. "A moment matching approach to log-normal portfolio optimization," Computational Management Science, Springer, vol. 13(4), pages 501-520, October.
    31. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.
    32. Allen, D.E. & Powell, R.J. & Singh, A.K., 2016. "Take it to the limit: Innovative CVaR applications to extreme credit risk measurement," European Journal of Operational Research, Elsevier, vol. 249(2), pages 465-475.
    33. Junhyeong Lee & Inwoo Tae & Yongjae Lee, 2024. "Anatomy of Machines for Markowitz: Decision-Focused Learning for Mean-Variance Portfolio Optimization," Papers 2409.09684, arXiv.org.
    34. Wang, Xin & Fagerholt, Kjetil & Wallace, Stein W., 2018. "Planning for charters: A stochastic maritime fleet composition and deployment problem," Omega, Elsevier, vol. 79(C), pages 54-66.
    35. Schütz, Peter & Westgaard, Sjur, 2018. "Optimal hedging strategies for salmon producers," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 60-70.

  23. Charalambos Pattichis & Marios Maratheftis & Stavros Zenios, 2007. "Is the Cyprus Pound Real Effective Exchange Rate Misaligned? A BEER Approach," International Economic Journal, Taylor & Francis Journals, vol. 21(1), pages 133-154.

    Cited by:

    1. Prabheesh, K.P. & Prakash, Branesh & Vuniivi, Viliame, 2023. "Assessment of Fiji’s exchange rate," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1282-1305.
    2. Frenkel Michael & Koske Isabell, 2012. "Are the Real Exchange Rates of the New EU Member Countries in Line with Fundamentals? – Implications of the NATREX Approach," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(2), pages 129-145, April.

  24. David Saunders & Costas Xiouros & Stavros Zenios, 2007. "Credit risk optimization using factor models," Annals of Operations Research, Springer, vol. 152(1), pages 49-77, July.

    Cited by:

    1. Mohamed A. Ayadi & Hatem Ben-Ameur & Nabil Channouf & Quang Khoi Tran, 2019. "NORTA for portfolio credit risk," Annals of Operations Research, Springer, vol. 281(1), pages 99-119, October.
    2. David Pla-Santamaria & Mila Bravo & Javier Reig-Mullor & Francisco Salas-Molina, 2021. "A multicriteria approach to manage credit risk under strict uncertainty," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(2), pages 494-523, July.
    3. Diana Barro & Antonella Basso, 2008. "A network of business relations to model counterparty risk," Working Papers 171, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    4. Justin A. Sirignano & Gerry Tsoukalas & Kay Giesecke, 2016. "Large-Scale Loan Portfolio Selection," Operations Research, INFORMS, vol. 64(6), pages 1239-1255, December.
    5. Zhan Liu & Gang-Zhi Fan & Kian Lim, 2009. "Extreme Events and the Copula Pricing of Commercial Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 38(3), pages 327-349, April.
    6. Barro, Diana & Basso, Antonella, 2010. "Credit contagion in a network of firms with spatial interaction," European Journal of Operational Research, Elsevier, vol. 205(2), pages 459-468, September.
    7. Wu, Dexiang & Dash Wu, Desheng, 2019. "An enhanced decision support approach for learning and tracking derivative index," Omega, Elsevier, vol. 88(C), pages 63-76.
    8. Iscoe, Ian & Kreinin, Alexander & Mausser, Helmut & Romanko, Oleksandr, 2012. "Portfolio credit-risk optimization," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1604-1615.
    9. Dawen Yan & Xiaohui Zhang & Mingzheng Wang, 2021. "A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations," Annals of Operations Research, Springer, vol. 299(1), pages 659-710, April.
    10. Rongda Chen & Liu Yang & Weijin Wang & Ling Tang, 2015. "Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management," Annals of Operations Research, Springer, vol. 234(1), pages 3-15, November.
    11. Li, Ping & Han, Yingwei & Xia, Yong, 2016. "Portfolio optimization using asymmetry robust mean absolute deviation model," Finance Research Letters, Elsevier, vol. 18(C), pages 353-362.

  25. Andrea Consiglio & Flavio Cocco & Stavros Zenios, 2007. "Scenario optimization asset and liability modelling for individual investors," Annals of Operations Research, Springer, vol. 152(1), pages 167-191, July.

    Cited by:

    1. Das, Sanjiv R. & Ostrov, Daniel & Radhakrishnan, Anand & Srivastav, Deep, 2022. "Dynamic optimization for multi-goals wealth management," Journal of Banking & Finance, Elsevier, vol. 140(C).
    2. Pagnoncelli, Bernardo K. & Homem-de-Mello, Tito & Lagos, Guido & Castañeda, Pablo & García, Javier, 2024. "Solving constrained consumption–investment problems by decomposition algorithms," European Journal of Operational Research, Elsevier, vol. 319(1), pages 292-302.
    3. Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2001. "The Value of Integrative Risk Management for Insurance Products with Guarantees," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 2(3), pages 6-16, February.
    4. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2021. "Sparse factor model based on trend filtering," Annals of Operations Research, Springer, vol. 306(1), pages 321-342, November.
    5. Jang Ho Kim & Yongjae Lee & Woo Chang Kim & Frank J. Fabozzi, 2022. "Goal-based investing based on multi-stage robust portfolio optimization," Annals of Operations Research, Springer, vol. 313(2), pages 1141-1158, June.
    6. Miloš Kopa & Vittorio Moriggia & Sebastiano Vitali, 2018. "Individual optimal pension allocation under stochastic dominance constraints," Annals of Operations Research, Springer, vol. 260(1), pages 255-291, January.
    7. Audrius Kabašinskas & Francesca Maggioni & Kristina Šutienė & Eimutis Valakevičius, 2019. "A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania," Annals of Operations Research, Springer, vol. 279(1), pages 43-70, August.
    8. Anne Pedersen & Alex Weissensteiner & Rolf Poulsen, 2013. "Financial planning for young households," Annals of Operations Research, Springer, vol. 205(1), pages 55-76, May.
    9. Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2004. "www.Personal_Asset_Allocation," Interfaces, INFORMS, vol. 34(4), pages 287-302, August.
    10. Sebastiano Vitali & Vittorio Moriggia & Miloš Kopa, 2017. "Optimal pension fund composition for an Italian private pension plan sponsor," Computational Management Science, Springer, vol. 14(1), pages 135-160, January.

  26. Consiglio, Andrea & Saunders, David & Zenios, Stavros A., 2006. "Asset and liability management for insurance products with minimum guarantees: The UK case," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 645-667, February.

    Cited by:

    1. Lin, Hongcan & Saunders, David & Weng, Chengguo, 2017. "Optimal investment strategies for participating contracts," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 137-155.
    2. Consiglio, Andrea & Carollo, Angelo & Zenios, Stavros A., 2014. "Generating Multi-factor Arbitrage-Free Scenario Trees with Global Optimization," Working Papers 13-35, University of Pennsylvania, Wharton School, Weiss Center.
    3. Eling, Martin & Gatzert, Nadine & Schmeiser, Hato, 2009. "Minimum standards for investment performance: A new perspective on non-life insurer solvency," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 113-122, August.
    4. Diana Barro & Elio Canestrelli, 2008. "Tracking error with minimum guarantee constraints," Working Papers 172, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    5. Gülpinar, Nalan & Pachamanova, Dessislava, 2013. "A robust optimization approach to asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2031-2041.
    6. Diana Barro & Elio Canestrelli, 2014. "Downside risk in multiperiod tracking error models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 263-283, June.
    7. Pierre Devolder & Sébastien De Valeriola, 2017. "Minimum Protection in DC Funding Pension Plans and Margrabe Options," Risks, MDPI, vol. 5(1), pages 1-14, January.
    8. Chih-Te Yang & Yensen Ni & Mu-Hsiang Yu & Yuhsin Chen & Paoyu Huang, 2023. "Decoding the Profitability of Insurance Products: A Novel Approach to Evaluating Non-Participating and Participating Insurance Policies," Mathematics, MDPI, vol. 11(13), pages 1-16, June.
    9. Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany.
    10. Johanna Scheller & Jacques Pézier, 2008. "Optimal Investment Strategies and Performance Sharing Rules for Pension Schemes with Minimum Guarantee," ICMA Centre Discussion Papers in Finance icma-dp2008-09, Henley Business School, University of Reading, revised Oct 2009.
    11. Consiglio, Andrea & De Giovanni, Domenico, 2008. "Evaluation of insurance products with guarantee in incomplete markets," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 332-342, February.
    12. Nalan Gülpınar & Dessislava Pachamanova & Ethem Çanakoğlu, 2016. "A robust asset–liability management framework for investment products with guarantees," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(4), pages 1007-1041, October.
    13. Døskeland, Trond M. & Nordahl, Helge A., 2008. "Optimal pension insurance design," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 382-392, March.
    14. Ghahtarani, Alireza & Saif, Ahmed & Ghasemi, Alireza, 2024. "Worst-case Conditional Value at Risk for asset liability management: A framework for general loss functions," European Journal of Operational Research, Elsevier, vol. 318(2), pages 500-519.
    15. Døskeland, Trond M. & Nordahl, Helge A., 2006. "Intergenerational Effects of Guaranteed Pension Contracts," Discussion Papers 2006/13, Norwegian School of Economics, Department of Business and Management Science, revised 21 Jun 2007.
    16. Christopher Bayliss & Marti Serra & Armando Nieto & Angel A. Juan, 2020. "Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities," Risks, MDPI, vol. 8(4), pages 1-14, December.
    17. Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2015. "Designing and pricing guarantee options in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 267-279.

  27. Jobst, Norbert J. & Mitra, Gautam & Zenios, Stavros A., 2006. "Integrating market and credit risk: A simulation and optimisation perspective," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 717-742, February.

    Cited by:

    1. Grundke, Peter, 2010. "Top-down approaches for integrated risk management: How accurate are they?," European Journal of Operational Research, Elsevier, vol. 203(3), pages 662-672, June.
    2. Eckert, Johanna & Gatzert, Nadine & Martin, Michael, 2016. "Valuation and risk assessment of participating life insurance in the presence of credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 382-393.
    3. Andrea Consiglio & Somayyeh Lotfi & Stavros A. Zenios, 2018. "Portfolio diversification in the sovereign credit swap markets," Annals of Operations Research, Springer, vol. 266(1), pages 5-33, July.
    4. Stavros A. Zenios & Andrea Consiglio & Marialena Athanasopoulou & Edmund Moshammer & Angel Gavilan & Aitor Erce, 2021. "Risk Management for Sustainable Sovereign Debt Financing," Operations Research, INFORMS, vol. 69(3), pages 755-773, May.
    5. Pantelous, Athanasios A., 2008. "Dynamic risk management of the lending rate policy of an interacted portfolio of loans via an investment strategy into a discrete stochastic framework," Economic Modelling, Elsevier, vol. 25(4), pages 658-675, July.
    6. Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco, 2010. "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 713-729, April.
    7. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2008. "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England.
    8. Drehmann, Mathias & Alessandri, Piergiorgio, 2009. "An economic capital model integrating credit and interest rate risk in the banking book," Working Paper Series 1041, European Central Bank.
    9. Lee, Yongwoong & Yang, Kisung, 2019. "Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula," International Review of Financial Analysis, Elsevier, vol. 66(C).
    10. Robert Ferstl & Alex Weissensteiner, 2010. "Cash management using multi-stage stochastic programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 209-219.
    11. Weissensteiner, Alex, 2010. "Using the Black-Derman-Toy interest rate model for portfolio optimization," European Journal of Operational Research, Elsevier, vol. 202(1), pages 175-181, April.
    12. Robert Ferstl & Alexander Weissensteiner, 2011. "Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 19, pages 469-494, Palgrave Macmillan.
    13. Nick Georgiopoulos, 2020. "Liability-driven investments of life insurers under investment credit risk," Risk Management, Palgrave Macmillan, vol. 22(2), pages 83-107, June.

  28. Marios Nerouppos & David Saunders & Costas Xiouros & Stavros A. Zenios, 2006. "Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests," Multinational Finance Journal, Multinational Finance Journal, vol. 10(3-4), pages 179-221, September.

    Cited by:

    1. Hilmar Tor Hilmarsson & Trung Quang Dinh, 2013. "Can Export Credit Agencies Facilitate Cross Border Trade to Emerging Markets and Help Increase Investments and Innovations in Their Food Processing Industries?," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 2(3), pages 176-186.
    2. Trung Quang DINH & Hilmar Þor HILMARSSON, 2012. "Private Sector Export to Emerging Market Economies During Times of Crisis: How Can Export Credit Agencies Help?," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 13(1), pages 167-180, March.

  29. Jobst, Norbert J. & Zenios, Stavros A., 2005. "On the simulation of portfolios of interest rate and credit risk sensitive securities," European Journal of Operational Research, Elsevier, vol. 161(2), pages 298-324, March.

    Cited by:

    1. Stefan Hlawatsch & Sebastian Ostrowski, 2010. "Simulation and Estimation of Loss Given Default," FEMM Working Papers 100010, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    2. Geyer, Alois & Hanke, Michael & Weissensteiner, Alex, 2010. "No-arbitrage conditions, scenario trees, and multi-asset financial optimization," European Journal of Operational Research, Elsevier, vol. 206(3), pages 609-613, November.
    3. Eckert, Johanna & Gatzert, Nadine & Martin, Michael, 2016. "Valuation and risk assessment of participating life insurance in the presence of credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 382-393.
    4. Wolter, Marcus & Rösch, Daniel, 2014. "Cure events in default prediction," European Journal of Operational Research, Elsevier, vol. 238(3), pages 846-857.
    5. Tsukahara, Fábio Yasuhiro & Kimura, Herbert & Sobreiro, Vinicius Amorim & Zambrano, Juan Carlos Arismendi, 2016. "Validation of default probability models: A stress testing approach," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 70-85.
    6. Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2011. "Enhancing credit default swap valuation with meshfree methods," European Journal of Operational Research, Elsevier, vol. 214(3), pages 805-813, November.
    7. Abaffy, J. & Bertocchi, M. & Dupacova, J. & Moriggia, V. & Consigli, G., 2007. "Pricing nondiversifiable credit risk in the corporate Eurobond market," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2233-2263, August.
    8. Lützenkirchen, Kristina & Rösch, Daniel & Scheule, Harald, 2014. "Asset portfolio securitizations and cyclicality of regulatory capital," European Journal of Operational Research, Elsevier, vol. 237(1), pages 289-302.
    9. Robert Ferstl & Alex Weissensteiner, 2010. "Cash management using multi-stage stochastic programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 209-219.
    10. Weissensteiner, Alex, 2010. "Using the Black-Derman-Toy interest rate model for portfolio optimization," European Journal of Operational Research, Elsevier, vol. 202(1), pages 175-181, April.
    11. Robert Ferstl & Alexander Weissensteiner, 2011. "Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 19, pages 469-494, Palgrave Macmillan.
    12. Kim, Yoonseong & Sohn, So Young, 2008. "Random effects model for credit rating transitions," European Journal of Operational Research, Elsevier, vol. 184(2), pages 561-573, January.

  30. Bertocchi, Marida & Giacometti, Rosella & Zenios, Stavros A., 2005. "Risk factor analysis and portfolio immunization in the corporate bond market," European Journal of Operational Research, Elsevier, vol. 161(2), pages 348-363, March.
    See citations under working paper version above.
  31. Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2004. "www.Personal_Asset_Allocation," Interfaces, INFORMS, vol. 34(4), pages 287-302, August.

    Cited by:

    1. Das, Sanjiv R. & Ostrov, Daniel & Radhakrishnan, Anand & Srivastav, Deep, 2022. "Dynamic optimization for multi-goals wealth management," Journal of Banking & Finance, Elsevier, vol. 140(C).
    2. Anne Pedersen & Alex Weissensteiner & Rolf Poulsen, 2013. "Financial planning for young households," Annals of Operations Research, Springer, vol. 205(1), pages 55-76, May.
    3. Sebastiano Vitali & Vittorio Moriggia & Miloš Kopa, 2017. "Optimal pension fund composition for an Italian private pension plan sponsor," Computational Management Science, Springer, vol. 14(1), pages 135-160, January.

  32. Beltratti, Andrea & Laurant, Andrea & Zenios, Stavros A., 2004. "Scenario modelling for selective hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 955-974, February.

    Cited by:

    1. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    2. Yu, Xing & Shen, Xilin & Li, Yanyan & Gong, Xue, 2023. "Selective hedging strategies for crude oil futures based on market state expectations," Global Finance Journal, Elsevier, vol. 57(C).
    3. Luan, Fei & Zhang, Weiguo & Liu, Yongjun, 2022. "Robust international portfolio optimization with worst‐case mean‐CVaR," European Journal of Operational Research, Elsevier, vol. 303(2), pages 877-890.

  33. Norbert Jobst & Stavros Zenios, 2003. "Tracking bond indices in an integrated market and credit risk environment," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 117-135.

    Cited by:

    1. Grundke, Peter, 2010. "Top-down approaches for integrated risk management: How accurate are they?," European Journal of Operational Research, Elsevier, vol. 203(3), pages 662-672, June.
    2. Jobst, Norbert J. & Zenios, Stavros A., 2005. "On the simulation of portfolios of interest rate and credit risk sensitive securities," European Journal of Operational Research, Elsevier, vol. 161(2), pages 298-324, March.
    3. Jobst, Norbert J. & Mitra, Gautam & Zenios, Stavros A., 2006. "Integrating market and credit risk: A simulation and optimisation perspective," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 717-742, February.
    4. Williams, Daniel G., 2007. "Scenario simulations do not yield results stochastically consistent with alternative Monte Carlo results: U.S. nuclear plant decommissioning funding adequacy (2000)," Energy Economics, Elsevier, vol. 29(5), pages 1101-1130, September.
    5. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.
    6. Mitra, Sovan & Lim, Sungmook & Karathanasopoulos, Andreas, 2019. "Regression based scenario generation: Applications for performance management," Operations Research Perspectives, Elsevier, vol. 6(C).

  34. Zenios, Stavros A., 2003. "High-performance computing for financial planning," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 907-908, April.

    Cited by:

    1. Wong, Man Hong, 2013. "Investment models based on clustered scenario trees," European Journal of Operational Research, Elsevier, vol. 227(2), pages 314-324.

  35. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2002. "CVaR models with selective hedging for international asset allocation," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1535-1561, July.

    Cited by:

    1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
    2. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    3. Willem Klein Haneveld & Matthijs Streutker & Maarten Vlerk, 2010. "An ALM model for pension funds using integrated chance constraints," Annals of Operations Research, Springer, vol. 177(1), pages 47-62, June.
    4. Peng, Cheng & Li, Shuang & Zhao, Yanlong & Bao, Ying, 2021. "Sample average approximation of CVaR-based hedging problem with a deep-learning solution," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    5. Yu, Xing & Shen, Xilin & Li, Yanyan & Gong, Xue, 2023. "Selective hedging strategies for crude oil futures based on market state expectations," Global Finance Journal, Elsevier, vol. 57(C).
    6. Louis Chakkalakal & Ulrich Hommel & Wenwei Li, 2018. "Transport infrastructure equities in mixed-asset portfolios: estimating risk with a Garch-Copula CVaR model," Journal of Property Research, Taylor & Francis Journals, vol. 35(2), pages 117-138, April.
    7. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    8. Massimiliano Kaucic & Roberto Daris, 2016. "Prospect Theory Based Portfolio Optimization Problem with Imprecise Forecasts," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 14(4 (Winter), pages 359-384.
    9. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev, 2023. "Enhancing CVaR portfolio optimisation performance with GAM factor models," Papers 2401.00188, arXiv.org.
    10. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "A dynamic stochastic programming model for international portfolio management," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1501-1524, March.
    11. Jörgen Blomvall & Jonas Ekblom, 2018. "Corporate hedging: an answer to the “how” question," Annals of Operations Research, Springer, vol. 266(1), pages 35-69, July.
    12. Jiang, Yifu & Olmo, Jose & Atwi, Majed, 2024. "Dynamic robust portfolio selection under market distress," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
    13. Renata Mansini & Włodzimierz Ogryczak & M. Speranza, 2007. "Conditional value at risk and related linear programming models for portfolio optimization," Annals of Operations Research, Springer, vol. 152(1), pages 227-256, July.
    14. Azra Zaimovic & Adna Omanovic & Almira Arnaut-Berilo, 2021. "How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature," JRFM, MDPI, vol. 14(11), pages 1-30, November.
    15. Turan Bali & Panayiotis Theodossiou, 2007. "A conditional-SGT-VaR approach with alternative GARCH models," Annals of Operations Research, Springer, vol. 151(1), pages 241-267, April.
    16. Raquel J. Fonseca & Steve Zymler & Wolfram Wiesemann & Berc Rustem, 2009. "Robust Optimization of Currency Portfolios," Working Papers 012, COMISEF.
    17. Scheuenstuhl, Gerhard & Zagst, Rudi, 2008. "Integrated portfolio management with options," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1477-1500, March.
    18. Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F., 2014. "Long-term U.S. infrastructure returns and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 314-325.
    19. Consiglio, Andrea & Zenios, Stavros A., 2014. "Risk Management Optimization for Sovereign Debt Restructuring," Working Papers 14-10, University of Pennsylvania, Wharton School, Weiss Center.
    20. Ponomareva, K. & Roman, D. & Date, P., 2015. "An algorithm for moment-matching scenario generation with application to financial portfolio optimisation," European Journal of Operational Research, Elsevier, vol. 240(3), pages 678-687.
    21. Burkhardt, Raphael & Ulrych, Urban, 2023. "Sparse and stable international portfolio optimization and currency risk management," Journal of International Money and Finance, Elsevier, vol. 139(C).
    22. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
    23. Kajtazi, Anton & Moro, Andrea, 2019. "The role of bitcoin in well diversified portfolios: A comparative global study," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 143-157.
    24. Su, Kuangxi & Yao, Yinhong & Zheng, Chengli & Xie, Wenzhao, 2023. "A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 35-50.
    25. Sun, Qi & Dong, Yucheng & Xu, Weidong, 2013. "Effects of higher order moments on the newsvendor problem," International Journal of Production Economics, Elsevier, vol. 146(1), pages 167-177.
    26. Zhao, Daping & Bai, Lin & Fang, Yong & Wang, Shouyang, 2022. "Multi‐period portfolio selection with investor views based on scenario tree," Applied Mathematics and Computation, Elsevier, vol. 418(C).
    27. Shushang Zhu & Masao Fukushima, 2009. "Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management," Operations Research, INFORMS, vol. 57(5), pages 1155-1168, October.
    28. Johan Hagenbjörk & Jörgen Blomvall, 2019. "Simulation and evaluation of the distribution of interest rate risk," Computational Management Science, Springer, vol. 16(1), pages 297-327, February.
    29. Fonseca, Raquel J. & Rustem, Berç, 2012. "International portfolio management with affine policies," European Journal of Operational Research, Elsevier, vol. 223(1), pages 177-187.
    30. Isha Chopra & Dharmaraja Selvamuthu, 2020. "Scenario generation in stochastic programming using principal component analysis based on moment-matching approach," OPSEARCH, Springer;Operational Research Society of India, vol. 57(1), pages 190-201, March.
    31. Huang, Dashan & Zhu, Shushang & Fabozzi, Frank J. & Fukushima, Masao, 2010. "Portfolio selection under distributional uncertainty: A relative robust CVaR approach," European Journal of Operational Research, Elsevier, vol. 203(1), pages 185-194, May.
    32. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
    33. Michal Kaut & Hercules Vladimirou & Stein W. Wallace & Stavros A. Zenios, 2007. "Stability analysis of portfolio management with conditional value-at-risk," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 397-409.
    34. Andrea Beltratti & Paolo Colla, 2007. "A portfolio-based evaluation of affine term structure models," Annals of Operations Research, Springer, vol. 151(1), pages 193-222, April.
    35. Mei Qiu & Pinfold & Rose, 2015. "A currency preferential approach to international equity investment," Applied Economics, Taylor & Francis Journals, vol. 47(49), pages 5247-5261, October.
    36. Nonthachote Chatsanga & Andrew J. Parkes, 2016. "International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints," Papers 1611.01463, arXiv.org.

  36. Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2001. "The Value of Integrative Risk Management for Insurance Products with Guarantees," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 2(3), pages 6-16, February.
    See citations under working paper version above.
  37. Norbert J. Jobst & Stavros A. Zenios, 2001. "The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 3(1), pages 31-43, April.
    See citations under working paper version above.
  38. Soteriou, Andreas C. & Zenios, Stavros A., 1999. "Using data envelopment analysis for costing bank products," European Journal of Operational Research, Elsevier, vol. 114(2), pages 234-248, April.

    Cited by:

    1. Andreas Dellnitz & Andreas Kleine & Madjid Tavana, 2024. "An integrated data envelopment analysis and regression tree method for new product price estimation," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 46(4), pages 1189-1211, December.
    2. PASTOR, Jesús T. & KNOX LOVELL, C.A. & TULKENS, Henry, 2006. "Evaluating the financial performance of bank branches," LIDAM Reprints CORE 2039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Ho, Dong-huyn & Lööf, Hans, 2009. "Creating Innovations, Productivity and Growth - the efficiency of Icelandic firms," Working Paper Series in Economics and Institutions of Innovation 162, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
    4. Sambracos, Evangelos & Maniati, Marina, 2015. "Technical Efficiency of Shipping Banks: A DEA Approach," MPRA Paper 63131, University Library of Munich, Germany.
    5. Dong-hyun Oh & Hans Loof & Almas Heshmati, 2009. "The Icelandic Economy: A Victim of the Financial Crisis or Simply Inefficient?," TEMEP Discussion Papers 200916, Seoul National University; Technology Management, Economics, and Policy Program (TEMEP), revised Sep 2009.
    6. Giokas, Dimitris I., 2008. "Assessing the efficiency in operations of a large Greek bank branch network adopting different economic behaviors," Economic Modelling, Elsevier, vol. 25(3), pages 559-574, May.
    7. Zha, Yong & Liang, Nannan & Wu, Maoguo & Bian, Yiwen, 2016. "Efficiency evaluation of banks in China: A dynamic two-stage slacks-based measure approach," Omega, Elsevier, vol. 60(C), pages 60-72.
    8. G.S. Donatos & D.I. Giokas, 2008. "Relative Efficiency in the branch network of a Greek bank: A quantitative analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 53-72.
    9. Fotios Pasiouras & Aggeliki Liadaki & Constantin Zopounidis, 2008. "Bank efficiency and share performance: evidence from Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 18(14), pages 1121-1130.
    10. Fethi, Meryem Duygun & Pasiouras, Fotios, 2010. "Assessing bank efficiency and performance with operational research and artificial intelligence techniques: A survey," European Journal of Operational Research, Elsevier, vol. 204(2), pages 189-198, July.
    11. Hao Pan & Guo-liang Yang & Xiao-lei Chen & Yuan-yu Lou & Teng Wang & Zhong-cheng Guan, 2024. "Regret cross-efficiency evaluation using attitudinal entropy approach," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-17, December.
    12. Meehyang Chang & Han-Byeol Jang & Yi-Mei Li & Daecheol Kim, 2017. "The Relationship between the Efficiency, Service Quality and Customer Satisfaction for State-Owned Commercial Banks in China," Sustainability, MDPI, vol. 9(12), pages 1-15, November.
    13. Paradi, Joseph C. & Zhu, Haiyan, 2013. "A survey on bank branch efficiency and performance research with data envelopment analysis," Omega, Elsevier, vol. 41(1), pages 61-79.
    14. A S Camanho & R G Dyson, 2005. "Cost efficiency, production and value-added models in the analysis of bank branch performance," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 56(5), pages 483-494, May.
    15. Li-Lun & Liu & Mu-Shun Wang & Yao-Jen & Su, 2023. "Measuring Changes in Chinese Banking Productivity and Profitability," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 13(5), pages 1-1.

  39. H. Vladimirou & S.A. Zenios, 1999. "Scalable parallel computations forlarge-scale stochastic programming," Annals of Operations Research, Springer, vol. 90(0), pages 87-129, January.

    Cited by:

    1. Jacek Gondzio & Andreas Grothey, 2007. "Parallel interior-point solver for structured quadratic programs: Application to financial planning problems," Annals of Operations Research, Springer, vol. 152(1), pages 319-339, July.
    2. Unai Aldasoro & Laureano Escudero & María Merino & Juan Monge & Gloria Pérez, 2015. "On parallelization of a stochastic dynamic programming algorithm for solving large-scale mixed 0–1 problems under uncertainty," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(3), pages 703-742, October.
    3. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "A dynamic stochastic programming model for international portfolio management," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1501-1524, March.
    4. Miles Lubin & J. Hall & Cosmin Petra & Mihai Anitescu, 2013. "Parallel distributed-memory simplex for large-scale stochastic LP problems," Computational Optimization and Applications, Springer, vol. 55(3), pages 571-596, July.
    5. Aldasoro, Unai & Escudero, Laureano F. & Merino, María & Pérez, Gloria, 2017. "A parallel Branch-and-Fix Coordination based matheuristic algorithm for solving large sized multistage stochastic mixed 0–1 problems," European Journal of Operational Research, Elsevier, vol. 258(2), pages 590-606.

  40. Andreas Soteriou & Stavros A. Zenios, 1999. "Operations, Quality, and Profitability in the Provision of Banking Services," Management Science, INFORMS, vol. 45(9), pages 1221-1238, September.

    Cited by:

    1. Aude Hubrecht & Fabienne Guerra, 2005. "Mesure De La Performance Globale Des Agences Bancaires : Une Application De La Méthode Dea," Post-Print halshs-00581212, HAL.
    2. Gomez, Miguel I. & McLaughlin, Edward W. & Wittink, Dick R., 2003. "Do Changes In Customer Satisfaction Lead To Changes In Performance In Food Retailing?," 2003 Annual meeting, July 27-30, Montreal, Canada 22048, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Wagner A. Kamakura & Vikas Mittal & Fernando de Rosa & José Afonso Mazzon, 2002. "Assessing the Service-Profit Chain," Marketing Science, INFORMS, vol. 21(3), pages 294-317, February.
    4. Evanschitzky, Heiner & Wangenheim, Florian v. & Wünderlich, Nancy V., 2012. "Perils of Managing the Service Profit Chain: The Role of Time Lags and Feedback Loops," Journal of Retailing, Elsevier, vol. 88(3), pages 356-366.
    5. Lu, Wen-Min & Liu, John S. & Kweh, Qian Long & Wang, Chung-Wei, 2016. "Exploring the benchmarks of the Taiwanese investment trust corporations: Management and investment efficiency perspectives," European Journal of Operational Research, Elsevier, vol. 248(2), pages 607-618.
    6. Richter, Magnus, 2017. "Time and quality efficiency of Scotch single malt whisky production: An empirical two-model DEA approach," Ilmenauer Schriften zur Betriebswirtschaftslehre, Technische Universität Ilmenau, Institut für Betriebswirtschaftslehre, volume 2, number 22017, September.
    7. Luo, Xueming, 2003. "Evaluating the profitability and marketability efficiency of large banks: An application of data envelopment analysis," Journal of Business Research, Elsevier, vol. 56(8), pages 627-635, August.
    8. Miguel Ignacio Gomez & Edward W. McLaughlin & Dick Wittink, 2003. "Do Changes in Customer Satisfaction Lead to Changes in Sales Performance in Food Retailing?," Yale School of Management Working Papers ysm363, Yale School of Management.
    9. Malliaris, Steven & Malliaris, A.G., 2021. "Delegated asset management and performance when some investors are unsophisticated," Journal of Banking & Finance, Elsevier, vol. 133(C).
    10. Zervopoulos, Panagiotis & Vargas, Francisco & Cheng, Gang, 2011. "A rational road to effectiveness attainment," MPRA Paper 31202, University Library of Munich, Germany.
    11. Aude Hubrecht & Michel Dietsch & Fabienne Guerra, 2005. "Mesure de la performance des agences bancaires par une approche DEA," Revue Finance Contrôle Stratégie, revues.org, vol. 8(2), pages 131-171, June.
    12. Shi‐wan Lou & Yiwen Yang & Chu‐wei Tseng, 2021. "Data envelopment analysis based assessment of human resource management strategy in the banking industry: A case study of a well‐known Taiwanese Bank," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(5), pages 1172-1182, July.
    13. Kao, Chiang, 2014. "Network data envelopment analysis: A review," European Journal of Operational Research, Elsevier, vol. 239(1), pages 1-16.
    14. Kanghwa Choi & DonHee Lee & David Olson, 2015. "Service quality and productivity in the U.S. airline industry: a service quality-adjusted DEA model," Service Business, Springer;Pan-Pacific Business Association, vol. 9(1), pages 137-160, March.
    15. Jun Ye & Beibei Dong & Ju-Yeon Lee, 2017. "The long-term impact of service empathy and responsiveness on customer satisfaction and profitability: a longitudinal investigation in a healthcare context," Marketing Letters, Springer, vol. 28(4), pages 551-564, December.
    16. Frances X. Frei & Ravi Kalakota & Andrew J. Leone & Leslie M. Marx, 1999. "Process Variation as a Determinant of Bank Performance: Evidence from the Retail Banking Study," Management Science, INFORMS, vol. 45(9), pages 1210-1220, September.
    17. M. S. Krishnan & Venkatram Ramaswamy & Mary C. Meyer & Paul Damien, 1999. "Customer Satisfaction for Financial Services: The Role of Products, Services, and Information Technology," Management Science, INFORMS, vol. 45(9), pages 1194-1209, September.
    18. Yee, Rachel W.Y. & Yeung, Andy C.L. & Edwin Cheng, T.C., 2010. "An empirical study of employee loyalty, service quality and firm performance in the service industry," International Journal of Production Economics, Elsevier, vol. 124(1), pages 109-120, March.
    19. Paradi, Joseph C. & Schaffnit, Claire, 2004. "Commercial branch performance evaluation and results communication in a Canadian bank--a DEA application," European Journal of Operational Research, Elsevier, vol. 156(3), pages 719-735, August.
    20. H. Leleu & A. Hubrecht, 2005. "Impact of trade area environment on bank's comparative advantages," Post-Print hal-00204760, HAL.
    21. Portela, Maria Conceicao A. Silva & Thanassoulis, Emmanuel, 2007. "Comparative efficiency analysis of Portuguese bank branches," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1275-1288, March.
    22. Gonzalez-Padron, Tracy & Akdeniz, M. Billur & Calantone, Roger J., 2014. "Benchmarking sales staffing efficiency in dealerships using extended data envelopment analysis," Journal of Business Research, Elsevier, vol. 67(9), pages 1904-1911.
    23. James G. Maxham, III & Richard G. Netemeyer & Donald R. Lichtenstein, 2008. "The Retail Value Chain: Linking Employee Perceptions to Employee Performance, Customer Evaluations, and Store Performance," Marketing Science, INFORMS, vol. 27(2), pages 147-167, 03-04.
    24. Nyankomo Marwa, 2014. "Efficiency and Profitability of Tanzanian saving and Credit Cooperatives: Who is a Star?," Journal of Economics and Behavioral Studies, AMH International, vol. 6(8), pages 658-669.
    25. A Mukherjee & P Nath & M Pal, 2003. "Resource, service quality and performance triad: a framework for measuring efficiency of banking services," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 54(7), pages 723-735, July.
    26. Gutiérrez-Nieto, Begoña & Serrano-Cinca, Carlos & Mar Molinero, Cecilio, 2007. "Microfinance institutions and efficiency," Omega, Elsevier, vol. 35(2), pages 131-142, April.
    27. Massoud Moslehpour & Wing-Keung Wong & Yi Hsin Lin & Thi Huyen Nguyen, 2018. "Top purchase intention priorities of Vietnamese low cost carrier passengers: expectations and satisfaction," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 8(4), pages 371-389, December.
    28. Samet Güner & Erman Coşkun, 2016. "Determining the best performing benchmarks for transit routes with a multi-objective model: the implementation and a critique of the two-model approach," Public Transport, Springer, vol. 8(2), pages 205-224, September.
    29. Haas, David A. & Murphy, Frederic H., 2003. "Compensating for non-homogeneity in decision-making units in data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 144(3), pages 530-544, February.
    30. Manthos D. Delis & Pantelis Kazakis & Constantin Zopounidis, 2021. "Management Practices and Takeover Decisions," Working Papers 2021_10, Business School - Economics, University of Glasgow.
    31. A Medina-Borja & K S Pasupathy & K Triantis, 2007. "Large-scale data envelopment analysis (DEA) implementation: a strategic performance management approach," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 58(8), pages 1084-1098, August.
    32. Zervopoulos, Panagiotis D. & Brisimi, Theodora S. & Emrouznejad, Ali & Cheng, Gang, 2016. "Performance measurement with multiple interrelated variables and threshold target levels: Evidence from retail firms in the US," European Journal of Operational Research, Elsevier, vol. 250(1), pages 262-272.
    33. Assaf, A. George & Berger, Allen N. & Roman, Raluca A. & Tsionas, Mike G., 2019. "Does efficiency help banks survive and thrive during financial crises?," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 445-470.
    34. Simon Cornée & Gervais Thenet, 2016. "Efficience des institutions de microfinance en Bolivie et au Pérou : une approche data envelopment analysis en deux étapes," Post-Print halshs-01306946, HAL.
    35. Vikas Mittal & Eugene W. Anderson & Akin Sayrak & Pandu Tadikamalla, 2005. "Dual Emphasis and the Long-Term Financial Impact of Customer Satisfaction," Marketing Science, INFORMS, vol. 24(4), pages 544-555, August.
    36. Malliaris, Steven & Malliaris, A.G., 2022. "Reprint of: Delegated asset management and performance when some investors are unsophisticated," Journal of Banking & Finance, Elsevier, vol. 140(C).
    37. Pejman Ebrahimi & Maria Fekete-Farkas & Parisa Bouzari & Róbert Magda, 2021. "Financial Performance of Iranian Banks from 2013 to 2019: A Panel Data Approach," JRFM, MDPI, vol. 14(6), pages 1-15, June.
    38. Asmild, Mette & Zhu, Minyan, 2016. "Controlling for the use of extreme weights in bank efficiency assessments during the financial crisis," European Journal of Operational Research, Elsevier, vol. 251(3), pages 999-1015.
    39. Fethi, Meryem Duygun & Pasiouras, Fotios, 2010. "Assessing bank efficiency and performance with operational research and artificial intelligence techniques: A survey," European Journal of Operational Research, Elsevier, vol. 204(2), pages 189-198, July.
    40. Himme, Alexander & Fischer, Marc, 2014. "Drivers of the cost of capital: The joint role of non-financial metrics," International Journal of Research in Marketing, Elsevier, vol. 31(2), pages 224-238.
    41. Aude Hubrecht-Deville & Hervé Leleu, 2007. "Performance measures of retail banking networks: a decision support tool," Working Papers CREGO 1071105, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
    42. E. Grigoroudis & E. Tsitsiridi & C. Zopounidis, 2013. "Linking customer satisfaction, employee appraisal, and business performance: an evaluation methodology in the banking sector," Annals of Operations Research, Springer, vol. 205(1), pages 5-27, May.
    43. Yi-cheng Liu & Yue-cune Chang, 2013. "The Regional Performances of Agricultural Bank of China Applying GEE Method Multiple Linear Regression," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 3(5), pages 1-3.
    44. Lee, Peter K.C. & Cheng, T.C. Edwin & Yeung, Andy C.L. & Lai, Kee-hung, 2011. "An empirical study of transformational leadership, team performance and service quality in retail banks," Omega, Elsevier, vol. 39(6), pages 690-701, December.
    45. Hodonou DANNON, 2009. "Efficacité et productivité des banques de la zone UEMOA dans un contexte de réformes financières. Une application de la méthode DEA (Banks efficiency and productivity in the WAEMU in a context of fina," Working Papers 216, Laboratoire de Recherche sur l'Industrie et l'Innovation. ULCO / Research Unit on Industry and Innovation.
    46. Alexandra Medina-Borja & Konstantinos Triantis, 2014. "Modeling social services performance: a four-stage DEA approach to evaluate fundraising efficiency, capacity building, service quality, and effectiveness in the nonprofit sector," Annals of Operations Research, Springer, vol. 221(1), pages 285-307, October.
    47. Li, Nan & Liu, Cengceng & Zha, Donglan, 2016. "Performance evaluation of Chinese photovoltaic companies with the input-oriented dynamic SBM model," Renewable Energy, Elsevier, vol. 89(C), pages 489-497.
    48. Zeynep Ton, 2008. "The Effect of Labor on Profitability: The Role of Quality," Harvard Business School Working Papers 09-040, Harvard Business School, revised Jul 2009.
    49. Keh, Hean Tat & Chu, Singfat & Xu, Jiye, 2006. "Efficiency, effectiveness and productivity of marketing in services," European Journal of Operational Research, Elsevier, vol. 170(1), pages 265-276, April.
    50. Christos Floros, 2020. "Banking Development and Economy in Greece: Evidence from Regional Data," JRFM, MDPI, vol. 13(10), pages 1-13, October.
    51. B Gutiérrez-Nieto & C Serrano-Cinca & C Mar Molinero, 2009. "Social efficiency in microfinance institutions," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(1), pages 104-119, January.
    52. Walczuch, R.M. & Bielowski, A.G., 2002. "From measurement to management: the influence of IT on service operations," Research Memorandum 045, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    53. Aude Deville & Gary D. Ferrier & Hervé Leleu, 2009. "Performance measures for hierarchical organizations: Frontier analysis as a decision support tool," Working Papers 2009-ECO-01, IESEG School of Management.
    54. Piot-Lepetit, Isabelle & Nzongang, Joseph, 2014. "Financial sustainability and poverty outreach within a network of village banks in Cameroon: A multi-DEA approach," European Journal of Operational Research, Elsevier, vol. 234(1), pages 319-330.
    55. Bijoy Rakshit, 2021. "Evaluating Profitability and Marketability Efficiency: A Case of Indian Commercial Banks," Global Business Review, International Management Institute, vol. 22(4), pages 977-995, August.
    56. Yee, Rachel W.Y. & Yeung, Andy C.L. & Cheng, T.C.E., 2011. "The service-profit chain: An empirical analysis in high-contact service industries," International Journal of Production Economics, Elsevier, vol. 130(2), pages 236-245, April.
    57. Carsten Horn & Markus Rudolf, 2011. "Service quality in the private banking business," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(2), pages 173-195, June.
    58. Silvestro, Rhian, 2014. "Performance topology mapping: understanding the drivers of performance," International Journal of Production Economics, Elsevier, vol. 156(C), pages 269-282.
    59. Sepideh Kaffash & Marianna Marra, 2017. "Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds," Annals of Operations Research, Springer, vol. 253(1), pages 307-344, June.
    60. Moslehpour, Massoud & Lin, Yi Hsin & Nguyen, Thi Le Huyen, 2017. "Top purchase intention priorities of Vietnamese LCC passengers: Expectations and satisfaction," MPRA Paper 81635, University Library of Munich, Germany.
    61. Zhang, Rui & Chiang, Wen-Chyuan & Wu, Cheng, 2014. "Investigating the impact of operational variables on manufacturing cost by simulation optimization," International Journal of Production Economics, Elsevier, vol. 147(PC), pages 634-646.
    62. Nojavan, Majid & Heidari, Atefeh & Mohammaditabar, Davood, 2021. "A fuzzy service quality based approach for performance evaluation of educational units," Socio-Economic Planning Sciences, Elsevier, vol. 73(C).
    63. Shimshak, Daniel G. & Lenard, Melanie L. & Klimberg, Ronald K., 2009. "Incorporating quality into data envelopment analysis of nursing home performance: A case study," Omega, Elsevier, vol. 37(3), pages 672-685, June.

  41. Christiana V. Zenios & Stavros A. Zenios & Kostas Agathocleous & Andreas C. Soteriou, 1999. "Benchmarks of the Efficiency of Bank Branches," Interfaces, INFORMS, vol. 29(3), pages 37-51, June.

    Cited by:

    1. Wagner A. Kamakura & Vikas Mittal & Fernando de Rosa & José Afonso Mazzon, 2002. "Assessing the Service-Profit Chain," Marketing Science, INFORMS, vol. 21(3), pages 294-317, February.
    2. Jie Wu & Zhixiang Zhou, 2015. "A mixed-objective integer DEA model," Annals of Operations Research, Springer, vol. 228(1), pages 81-95, May.
    3. Cevdet Denizer & Mustafa Dinc & Murat Tarimcilar, 2007. "Financial liberalization and banking efficiency: evidence from Turkey," Journal of Productivity Analysis, Springer, vol. 27(3), pages 177-195, June.
    4. Paradi, Joseph C. & Schaffnit, Claire, 2004. "Commercial branch performance evaluation and results communication in a Canadian bank--a DEA application," European Journal of Operational Research, Elsevier, vol. 156(3), pages 719-735, August.
    5. Portela, Maria Conceicao A. Silva & Thanassoulis, Emmanuel, 2007. "Comparative efficiency analysis of Portuguese bank branches," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1275-1288, March.
    6. Andreas Soteriou & Stavros A. Zenios, 1999. "Operations, Quality, and Profitability in the Provision of Banking Services," Management Science, INFORMS, vol. 45(9), pages 1221-1238, September.
    7. Somesh K. Mathur, 2009. "Financial Analysis of the ICT Industry," Journal of Infrastructure Development, India Development Foundation, vol. 1(1), pages 17-43, June.
    8. Aggelopoulos, Eleftherios & Georgopoulos, Antonios, 2017. "Bank branch efficiency under environmental change: A bootstrap DEA on monthly profit and loss accounting statements of Greek retail branches," European Journal of Operational Research, Elsevier, vol. 261(3), pages 1170-1188.
    9. Jinlong Lin & Xiaoxiao Chen & Guiquan Yan, 2023. "How Smart City Construction Affects Digital Inclusive Finance in China: From the Perspective of the Relationship between Government and Large Private Capital," Sustainability, MDPI, vol. 15(11), pages 1-17, June.
    10. E. Grigoroudis & E. Tsitsiridi & C. Zopounidis, 2013. "Linking customer satisfaction, employee appraisal, and business performance: an evaluation methodology in the banking sector," Annals of Operations Research, Springer, vol. 205(1), pages 5-27, May.
    11. Yi-cheng Liu & Yue-cune Chang, 2013. "The Regional Performances of Agricultural Bank of China Applying GEE Method Multiple Linear Regression," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 3(5), pages 1-3.
    12. Paradi, Joseph C. & Zhu, Haiyan, 2013. "A survey on bank branch efficiency and performance research with data envelopment analysis," Omega, Elsevier, vol. 41(1), pages 61-79.
    13. Joseph Paradi & Sandra Vela & Haiyan Zhu, 2010. "Adjusting for cultural differences, a new DEA model applied to a merged bank," Journal of Productivity Analysis, Springer, vol. 33(2), pages 109-123, April.
    14. Iulia Cristina Iuga & Larisa-Loredana Dragolea, 2021. "Well-Being Impact on Banking Systems," JRFM, MDPI, vol. 14(3), pages 1-22, March.
    15. Lutfi, & Suyatno,, 2019. "Determinants of Bank Efficiency: Evidence from Regional Development Banks," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 53(3), pages 59-74.

  42. Andrea Consiglio & Stavros A. Zenios, 1999. "Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models," Operations Research, INFORMS, vol. 47(2), pages 195-208, April.

    Cited by:

    1. Andrea Consiglio & Alessandro Staino, 2012. "A stochastic programming model for the optimal issuance of government bonds," Annals of Operations Research, Springer, vol. 193(1), pages 159-172, March.

  43. Andrea Beltratti & Andrea Consiglio & Stavros Zenios, 1999. "Scenario modeling for the management ofinternational bond portfolios," Annals of Operations Research, Springer, vol. 85(0), pages 227-247, January.
    See citations under working paper version above.
  44. Zenios, Stavros A. & Holmer, Martin R. & McKendall, Raymond & Vassiadou-Zeniou, Christiana, 1998. "Dynamic models for fixed-income portfolio management under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 22(10), pages 1517-1541, August.

    Cited by:

    1. Vladislav Kargin, 2002. "On Bond Portfolio Management," Papers math/0208130, arXiv.org, revised Mar 2003.
    2. Fang, Yong & Chen, Lihua & Fukushima, Masao, 2008. "A mixed R&D projects and securities portfolio selection model," European Journal of Operational Research, Elsevier, vol. 185(2), pages 700-715, March.
    3. K. Liagkouras & K. Metaxiotis, 2019. "Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem," Annals of Operations Research, Springer, vol. 272(1), pages 119-137, January.
    4. Andrea Consiglio & Somayyeh Lotfi & Stavros A. Zenios, 2018. "Portfolio diversification in the sovereign credit swap markets," Annals of Operations Research, Springer, vol. 266(1), pages 5-33, July.
    5. Vladislav Kargin, 2003. "Portfolio Management for a Random Field of Bond Returns," Finance 0310007, University Library of Munich, Germany.
    6. Briec, Walter & Kerstens, Kristiaan, 2009. "Multi-horizon Markowitz portfolio performance appraisals: A general approach," Omega, Elsevier, vol. 37(1), pages 50-62, February.
    7. de Lange, Petter E. & Fleten, Stein-Erik & Gaivoronski, Alexei A., 2004. "Modeling financial reinsurance in the casualty insurance business via stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 991-1012, February.
    8. Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management.
    9. Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
    10. Fan, Wei & Machemehl, Randy, 2004. "A Multi-stage Monte Carlo Sampling Based Stochastic Programming Model for the Dynamic Vehicle Allocation Problem," 45th Annual Transportation Research Forum, Evanston, Illinois, March 21-23, 2004 208244, Transportation Research Forum.
    11. Osorio, Maria A. & Gulpinar, Nalan & Rustem, Berc & Settergren, Reuben, 2004. "Post-tax optimization with stochastic programming," European Journal of Operational Research, Elsevier, vol. 157(1), pages 152-168, August.
    12. Beasley, J. E. & Meade, N. & Chang, T. -J., 2003. "An evolutionary heuristic for the index tracking problem," European Journal of Operational Research, Elsevier, vol. 148(3), pages 621-643, August.
    13. Marida Bertocchi & Vittorio Moriggia & Jitka Dupačová, 2006. "Horizon and stages in applications of stochastic programming in finance," Annals of Operations Research, Springer, vol. 142(1), pages 63-78, February.
    14. Dupacova, Jitka, 2002. "Applications of stochastic programming: Achievements and questions," European Journal of Operational Research, Elsevier, vol. 140(2), pages 281-290, July.
    15. Rasmussen, Kourosh Marjani & Clausen, Jens, 2007. "Mortgage loan portfolio optimization using multi-stage stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 742-766, March.
    16. Blomvall, Jörgen & Hagenbjörk, Johan, 2022. "Reducing transaction costs for interest rate risk hedging with stochastic programming," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1282-1293.
    17. Balibek, Emre & Köksalan, Murat, 2010. "A multi-objective multi-period stochastic programming model for public debt management," European Journal of Operational Research, Elsevier, vol. 205(1), pages 205-217, August.
    18. Fan, Wei, 2014. "Optimizing Strategic Allocation of Vehicles for One-Way Car-sharing Systems Under Demand Uncertainty," Journal of the Transportation Research Forum, Transportation Research Forum, vol. 53(3).
    19. Fleten, Stein-Erik & Hoyland, Kjetil & Wallace, Stein W., 2002. "The performance of stochastic dynamic and fixed mix portfolio models," European Journal of Operational Research, Elsevier, vol. 140(1), pages 37-49, July.
    20. Blomvall, Jorgen & Lindberg, Per Olov, 2003. "Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990-1999," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1099-1112, April.
    21. Andrea Consiglio & Alessandro Staino, 2012. "A stochastic programming model for the optimal issuance of government bonds," Annals of Operations Research, Springer, vol. 193(1), pages 159-172, March.
    22. Dormidontova, Yulia & Nazarov, Vladimir & A. Tikhonova, 2014. "Analysis of Approaches of Participants of Pension Products Market to the Development of Optimal Investment Strategies of Pension Savings," Published Papers r90227, Russian Presidential Academy of National Economy and Public Administration.
    23. Jahangirian, Mohsen & Eldabi, Tillal & Naseer, Aisha & Stergioulas, Lampros K. & Young, Terry, 2010. "Simulation in manufacturing and business: A review," European Journal of Operational Research, Elsevier, vol. 203(1), pages 1-13, May.

  45. Consiglio, Andrea & Zenios, Stavros A., 1997. "A model for designing callable bonds and its solution using tabu search," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1445-1470, June.

    Cited by:

    1. John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.
    2. Andrea Consiglio & Stavros A. Zenios, 1999. "Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models," Operations Research, INFORMS, vol. 47(2), pages 195-208, April.
    3. Lim, Dongjae & Li, Lingfei & Linetsky, Vadim, 2012. "Evaluating callable and putable bonds: An eigenfunction expansion approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1888-1908.

  46. Vladimirou, Hercules & Zenios, Stavros A., 1997. "Stochastic linear programs with restricted recourse," European Journal of Operational Research, Elsevier, vol. 101(1), pages 177-192, August.

    Cited by:

    1. Amy V. Puelz, 2002. "A Stochastic Convergence Model for Portfolio Selection," Operations Research, INFORMS, vol. 50(3), pages 462-476, June.
    2. Zhenfang Liu & Yang Zhou & Gordon Huang & Bin Luo, 2019. "Risk Aversion Based Inexact Stochastic Dynamic Programming Approach for Water Resources Management Planning under Uncertainty," Sustainability, MDPI, vol. 11(24), pages 1-22, December.
    3. G Barbarosoǧlu & Y Arda, 2004. "A two-stage stochastic programming framework for transportation planning in disaster response," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 55(1), pages 43-53, January.
    4. ZhenFang Liu & GuoHe Huang, 2009. "Dual-Interval Two-Stage Optimization for Flood Management and Risk Analyses," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 23(11), pages 2141-2162, September.
    5. David P. Morton & R. Kevin Wood, 1999. "Restricted-Recourse Bounds for Stochastic Linear Programming," Operations Research, INFORMS, vol. 47(6), pages 943-956, December.
    6. Sabastine Mushori & Delson Chikobvu, 2018. "Investment Opportunities, Uncertain Implicit Transaction Costs and Maximum Downside Risk in Dynamic Stochastic Financial Optimization," International Journal of Economics and Financial Issues, Econjournals, vol. 8(4), pages 256-264.
    7. Yelin Fu & Kin Keung Lai & Liang Liang, 2016. "A robust optimisation approach to the problem of supplier selection and allocation in outsourcing," International Journal of Systems Science, Taylor & Francis Journals, vol. 47(4), pages 913-918, March.
    8. Gaustad, Gabrielle & Li, Preston & Kirchain, Randolph, 2007. "Modeling methods for managing raw material compositional uncertainty in alloy production," Resources, Conservation & Recycling, Elsevier, vol. 52(2), pages 180-207.
    9. Chen, C. & Li, Y.P. & Huang, G.H. & Zhu, Y., 2012. "An inexact robust nonlinear optimization method for energy systems planning under uncertainty," Renewable Energy, Elsevier, vol. 47(C), pages 55-66.
    10. Escudero, L. F. & Galindo, E. & Garcia, G. & Gomez, E. & Sabau, V., 1999. "Schumann, a modeling framework for supply chain management under uncertainty," European Journal of Operational Research, Elsevier, vol. 119(1), pages 14-34, November.

  47. Vassiadou-Zeniou, Christiana & Zenios, Stavros A., 1996. "Robust optimization models for managing callable bond portfolios," European Journal of Operational Research, Elsevier, vol. 91(2), pages 264-273, June.

    Cited by:

    1. Chen, Andrew N.K., 2006. "Robust optimization for performance tuning of modern database systems," European Journal of Operational Research, Elsevier, vol. 171(2), pages 412-429, June.
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    28. Consiglio, Andrea & Zenios, Stavros A., 1997. "A model for designing callable bonds and its solution using tabu search," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1445-1470, June.
    29. Blomvall, Jorgen & Lindberg, Per Olov, 2003. "Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990-1999," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1099-1112, April.
    30. Zenios, Stavros A. & Holmer, Martin R. & McKendall, Raymond & Vassiadou-Zeniou, Christiana, 1998. "Dynamic models for fixed-income portfolio management under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 22(10), pages 1517-1541, August.
    31. Klaassen, Pieter, 1997. "Discretized reality and spurious profits in stochastic programming models for asset/liability management," Serie Research Memoranda 0011, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    32. Beltratti, Andrea & Laurant, Andrea & Zenios, Stavros A., 2004. "Scenario modelling for selective hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 955-974, February.

  51. Martin R. Holmer & Stavros A. Zenios, 1995. "The Productivity of Financial Intermediation and the Technology of Financial Product Management," Operations Research, INFORMS, vol. 43(6), pages 970-982, December.

    Cited by:

    1. Antreas D. Athanassopoulos & Andreas Soteriou & Stavros Zenios, 1997. "Disentangling Within- and Between-Country Efficiency Differences of Bank Branches," Center for Financial Institutions Working Papers 97-17, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Consiglio, Andrea & Cocco, Flavio & Zenios, Stavros A., 2008. "Asset and liability modelling for participating policies with guarantees," European Journal of Operational Research, Elsevier, vol. 186(1), pages 380-404, April.
    3. Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2001. "The Value of Integrative Risk Management for Insurance Products with Guarantees," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 2(3), pages 6-16, February.
    4. Amy V. Puelz, 2002. "A Stochastic Convergence Model for Portfolio Selection," Operations Research, INFORMS, vol. 50(3), pages 462-476, June.
    5. Andrea Consiglio & Somayyeh Lotfi & Stavros A. Zenios, 2018. "Portfolio diversification in the sovereign credit swap markets," Annals of Operations Research, Springer, vol. 266(1), pages 5-33, July.
    6. Abramov, Alexander E. (Абрамов, Александр Е.) & Aksenov, Ivan V. (Аксенов, Иван В.) & Radygin, Alexander D. (Радыгин, Александр Д.) & Chernova, Maria I. (Чернова, Мария И.), 2018. "Modern Approaches to Measuring the State Sector: Methodology and Empirics [Современные Подходы К Измерению Государственного Сектора: Методология И Эмпирика]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 36-69, February.
    7. John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.
    8. Andreas Soteriou & Stavros A. Zenios, 1999. "Operations, Quality, and Profitability in the Provision of Banking Services," Management Science, INFORMS, vol. 45(9), pages 1221-1238, September.
    9. Andrea Beltratti & Andrea Consiglio & Stavros Zenios, 1999. "Scenario modeling for the management ofinternational bond portfolios," Annals of Operations Research, Springer, vol. 85(0), pages 227-247, January.
    10. Consiglio, Andrea & Zenios, Stavros A., 1997. "A model for designing callable bonds and its solution using tabu search," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1445-1470, June.
    11. Andrea Consiglio & Stavros A. Zenios, 1999. "Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models," Operations Research, INFORMS, vol. 47(2), pages 195-208, April.
    12. Christiana V. Zenios & Stavros A. Zenios & Kostas Agathocleous & Andreas C. Soteriou, 1999. "Benchmarks of the Efficiency of Bank Branches," Interfaces, INFORMS, vol. 29(3), pages 37-51, June.

  52. John M. Mulvey & Stavros A. Zenios, 1994. "Capturing the Correlations of Fixed-income Instruments," Management Science, INFORMS, vol. 40(10), pages 1329-1342, October.

    Cited by:

    1. Vladislav Kargin, 2002. "On Bond Portfolio Management," Papers math/0208130, arXiv.org, revised Mar 2003.
    2. Vladislav Kargin, 2003. "Portfolio Management for a Random Field of Bond Returns," Finance 0310007, University Library of Munich, Germany.
    3. Jobst, Norbert J. & Zenios, Stavros A., 2005. "On the simulation of portfolios of interest rate and credit risk sensitive securities," European Journal of Operational Research, Elsevier, vol. 161(2), pages 298-324, March.
    4. Anas Yassine & Abdelmadjid Ibenrissoul, 2018. "The macroeconomics determinants of default of the borrowers: The case of Moroccan bank," Papers 1801.05770, arXiv.org, revised Mar 2018.
    5. Woong Bee Choi & Dongyeol Lee & Woo Chang Kim, 2021. "Extending the Scope of ALM to Social Investment: Investing in Population Growth to Enhance Sustainability of the Korean National Pension Service," Sustainability, MDPI, vol. 13(1), pages 1-14, January.
    6. Anas Yassine & Abdelmadjid Ibenrissoul & Nawal Snoussi & Zakaria Benjouid, 2017. "The macroeconomics determinants of default of the borrowers: The case of Moroccan bank [Les déterminants macroéconomiques de la défaillance des emprunteurs : Le cas d'une banque marocaine]," Working Papers hal-01683225, HAL.
    7. Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2016. "Pricing Sovereign Contingent Convertible Debt," Working Papers 16-05, University of Pennsylvania, Wharton School, Weiss Center.
    8. Andrea Beltratti & Andrea Consiglio & Stavros Zenios, 1999. "Scenario modeling for the management ofinternational bond portfolios," Annals of Operations Research, Springer, vol. 85(0), pages 227-247, January.
    9. Konno, Hiroshi & Kobayashi, Katsunari, 1997. "An integrated stock-bond portfolio optimization model," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1427-1444, June.
    10. Robert Ferstl & Alex Weissensteiner, 2010. "Cash management using multi-stage stochastic programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 209-219.
    11. Weissensteiner, Alex, 2010. "Using the Black-Derman-Toy interest rate model for portfolio optimization," European Journal of Operational Research, Elsevier, vol. 202(1), pages 175-181, April.
    12. Robert Ferstl & Alexander Weissensteiner, 2011. "Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 19, pages 469-494, Palgrave Macmillan.
    13. Andrea Consiglio & Stavros A. Zenios, 1999. "Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models," Operations Research, INFORMS, vol. 47(2), pages 195-208, April.
    14. Zenios, Stavros A. & Holmer, Martin R. & McKendall, Raymond & Vassiadou-Zeniou, Christiana, 1998. "Dynamic models for fixed-income portfolio management under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 22(10), pages 1517-1541, August.
    15. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.
    16. Vassiadou-Zeniou, Christiana & Zenios, Stavros A., 1996. "Robust optimization models for managing callable bond portfolios," European Journal of Operational Research, Elsevier, vol. 91(2), pages 264-273, June.
    17. Nick Georgiopoulos, 2020. "Liability-driven investments of life insurers under investment credit risk," Risk Management, Palgrave Macmillan, vol. 22(2), pages 83-107, June.
    18. Norbert Jobst & Stavros A. Zenios, 2001. "Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities," Center for Financial Institutions Working Papers 01-25, Wharton School Center for Financial Institutions, University of Pennsylvania.

  53. Iosif A. Krass & Mustafa Ç. Pinar & Theodore J. Thompson & Stavros A. Zenios, 1994. "A Network Model to Maximize Navy Personnel Readiness and Its Solution," Management Science, INFORMS, vol. 40(5), pages 647-661, May.

    Cited by:

    1. Dan Shrimpton & Alexandra M. Newman, 2005. "The US Army Uses a Network Optimization Model to Designate Career Fields for Officers," Interfaces, INFORMS, vol. 35(3), pages 230-237, June.
    2. Armacost, Andrew P. & Lowe, James K., 2005. "Decision support for the career field selection process at the US Air Force Academy," European Journal of Operational Research, Elsevier, vol. 160(3), pages 839-850, February.

  54. Kenneth J. Worzel & Christiana Vassiadou-Zeniou & Stavros A. Zenios, 1994. "Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities," Operations Research, INFORMS, vol. 42(2), pages 223-233, April.

    Cited by:

    1. Diana Barro & Elio Canestrelli, 2014. "Downside risk in multiperiod tracking error models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 263-283, June.
    2. Dan Lou & Yuehan Yang, 2025. "Joint estimation of transfer learning on time series data," Statistical Papers, Springer, vol. 66(1), pages 1-19, February.
    3. Golub, Bennett & Holmer, Martin & McKendall, Raymond & Pohlman, Lawrence & Zenios, Stavros A., 1995. "A stochastic programming model for money management," European Journal of Operational Research, Elsevier, vol. 85(2), pages 282-296, September.
    4. Sodhi, ManMohan S. & Tang, Christopher S., 2009. "Modeling supply-chain planning under demand uncertainty using stochastic programming: A survey motivated by asset-liability management," International Journal of Production Economics, Elsevier, vol. 121(2), pages 728-738, October.
    5. Beasley, J. E. & Meade, N. & Chang, T. -J., 2003. "An evolutionary heuristic for the index tracking problem," European Journal of Operational Research, Elsevier, vol. 148(3), pages 621-643, August.
    6. Maranas, C. D. & Androulakis, I. P. & Floudas, C. A. & Berger, A. J. & Mulvey, J. M., 1997. "Solving long-term financial planning problems via global optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1405-1425, June.
    7. Messina, E. & Mitra, G., 1997. "Modelling and analysis of multistage stochastic programming problems: A software environment," European Journal of Operational Research, Elsevier, vol. 101(2), pages 343-359, September.
    8. Gaivoronski, Alexei A. & Krylov, Sergiy & van der Wijst, Nico, 2005. "Optimal portfolio selection and dynamic benchmark tracking," European Journal of Operational Research, Elsevier, vol. 163(1), pages 115-131, May.
    9. Gaivoronski, Alexei A. & Stella, Fabio, 2003. "On-line portfolio selection using stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1013-1043, April.
    10. Blomvall, Jörgen & Hagenbjörk, Johan, 2022. "Reducing transaction costs for interest rate risk hedging with stochastic programming," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1282-1293.
    11. Blomvall, Jorgen & Lindberg, Per Olov, 2003. "Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990-1999," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1099-1112, April.
    12. Zenios, Stavros A. & Holmer, Martin R. & McKendall, Raymond & Vassiadou-Zeniou, Christiana, 1998. "Dynamic models for fixed-income portfolio management under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 22(10), pages 1517-1541, August.
    13. Andrea Consiglio & Alessandro Staino, 2012. "A stochastic programming model for the optimal issuance of government bonds," Annals of Operations Research, Springer, vol. 193(1), pages 159-172, March.
    14. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.

  55. Li, Xiaoye & Zenios, Stavros A., 1994. "Data-level parallel solution of min-cost network flow problems using [epsilon]-relaxations," European Journal of Operational Research, Elsevier, vol. 79(3), pages 474-488, December.

    Cited by:

    1. P. Beraldi & F. Guerriero & R. Musmanno, 1997. "Efficient Parallel Algorithms for the Minimum Cost Flow Problem," Journal of Optimization Theory and Applications, Springer, vol. 95(3), pages 501-530, December.

  56. Stavros A. Zenios, 1994. "Parallel and Supercomputing in the Practice of Management Science," Interfaces, INFORMS, vol. 24(5), pages 122-140, October.

    Cited by:

    1. Gavriel Yarmish & Harry Nagel & Robert Fireworker, 2014. "Recent Advances In Applications Of Mathematical Programming To Business And Economic Problems," Review of Business and Finance Studies, The Institute for Business and Finance Research, vol. 5(1), pages 19-25.
    2. Avella, P. & Benati, S. & Canovas Martinez, L. & Dalby, K. & Di Girolamo, D. & Dimitrijevic, B. & Ghiani, G. & Giannikos, I. & Guttmann, N. & Hultberg, T. H. & Fliege, J. & Marin, A. & Munoz Marquez, , 1998. "Some personal views on the current state and the future of locational analysis," European Journal of Operational Research, Elsevier, vol. 104(2), pages 269-287, January.

  57. Soren S. Nielsen & Stavros A. Zenios, 1993. "A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems," Operations Research, INFORMS, vol. 41(2), pages 319-337, April.

    Cited by:

    1. Patriksson, Michael, 2008. "A survey on the continuous nonlinear resource allocation problem," European Journal of Operational Research, Elsevier, vol. 185(1), pages 1-46, February.
    2. De Waegenaere, A.M.B. & Wielhouwer, J.L., 2001. "A Partial Ranking Algorithm for Resource Allocation Problems," Other publications TiSEM 8b2e0185-36f9-43df-8a3d-d, Tilburg University, School of Economics and Management.
    3. Zenios, Stavros A. & Pinar, Mustafa C. & Dembo, Ron S., 1995. "A smooth penalty function algorithm for network-structured problems," European Journal of Operational Research, Elsevier, vol. 83(1), pages 220-236, May.
    4. Og[caron]uzsoy, Cemal Berk & Güven, Sibel, 2007. "Robust portfolio planning in the presence of market anomalies," Omega, Elsevier, vol. 35(1), pages 1-6, February.
    5. Mulvey, John M. & Rosenbaum, Daniel P. & Shetty, Bala, 1997. "Strategic financial risk management and operations research," European Journal of Operational Research, Elsevier, vol. 97(1), pages 1-16, February.
    6. Bretthauer, Kurt M. & Shetty, Bala, 2002. "The nonlinear knapsack problem - algorithms and applications," European Journal of Operational Research, Elsevier, vol. 138(3), pages 459-472, May.
    7. Taesung Hwang & Yanfeng Ouyang, 2015. "Urban Freight Truck Routing under Stochastic Congestion and Emission Considerations," Sustainability, MDPI, vol. 7(6), pages 1-16, May.
    8. Sodhi, ManMohan S. & Tang, Christopher S., 2009. "Modeling supply-chain planning under demand uncertainty using stochastic programming: A survey motivated by asset-liability management," International Journal of Production Economics, Elsevier, vol. 121(2), pages 728-738, October.
    9. Diana Barro & Elio Canestrelli, 2005. "Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization," GE, Growth, Math methods 0510011, University Library of Munich, Germany.
    10. Gaivoronski, Alexei A. & Stella, Fabio, 2003. "On-line portfolio selection using stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1013-1043, April.
    11. De Waegenaere, A.M.B. & Wielhouwer, J.L., 2001. "A Partial Ranking Algorithm for Resource Allocation Problems," Discussion Paper 2001-40, Tilburg University, Center for Economic Research.
    12. Wielhouwer, J.L., 2002. "Optimal tax depreciation and its effects on optimal firm investments," Other publications TiSEM 822d5150-6b3a-463a-8001-4, Tilburg University, School of Economics and Management.
    13. J. Gondzio, 1994. "Preconditioned Conjugate Gradients in an Interior Point Method for Two-stage Stochastic Programming," Working Papers wp94130, International Institute for Applied Systems Analysis.
    14. Siva Sankaran & Tung Bui, 2008. "An organizational model for transitional negotiations: concepts, design and applications," Group Decision and Negotiation, Springer, vol. 17(2), pages 157-173, March.

  58. Pan Kang & Stavros A. Zenios, 1992. "Complete Prepayment Models for Mortgage-Backed Securities," Management Science, INFORMS, vol. 38(11), pages 1665-1685, November.

    Cited by:

    1. Erwin Charlier & Arjan Van Bussel, 2003. "Prepayment Behavior of Dutch Mortgagors: An Empirical Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(2), pages 165-204, June.
    2. S. Nielsen, Soren & Poulsen, Rolf, 2004. "A two-factor, stochastic programming model of Danish mortgage-backed securities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1267-1289, April.
    3. Michael LaCour-Little & Gregory H. Chun, 1999. "Third Party Originators and Mortgage Prepayment Risk: An Agency Problem?," Journal of Real Estate Research, American Real Estate Society, vol. 17(1), pages 55-70.
    4. Zhixin Liu & Ping He & Bo Chen, 2019. "A Markov decision model for consumer term-loan collections," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 1043-1064, May.
    5. Li, Zongyuan & Lai, Rose Neng, 2024. "Are “too big to fail” banks just different in size? – A study on systemic risk and stand-alone risk," International Review of Financial Analysis, Elsevier, vol. 93(C).
    6. L. Escudero & A. Garín & M. Merino & G. Pérez, 2007. "A two-stage stochastic integer programming approach as a mixture of Branch-and-Fix Coordination and Benders Decomposition schemes," Annals of Operations Research, Springer, vol. 152(1), pages 395-420, July.
    7. L. Douglas Smith & Canser Bilir & Vega W. Huang & Kuo-yao Hung & Mark Kaplan, 2005. "Citibank Models Credit Risk on Hybrid Mortgage Loans in Taiwan," Interfaces, INFORMS, vol. 35(3), pages 215-229, June.
    8. Golub, Bennett & Holmer, Martin & McKendall, Raymond & Pohlman, Lawrence & Zenios, Stavros A., 1995. "A stochastic programming model for money management," European Journal of Operational Research, Elsevier, vol. 85(2), pages 282-296, September.
    9. Yusuf VARLI & Gökhan ÖVENÇ, 2019. "Dynamic Analysis of Defaults and Prepayments in the Turkish Mortgage Market," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(39).
    10. Joseph L. Breeden, 2024. "An Age–Period–Cohort Framework for Profit and Profit Volatility Modeling," Mathematics, MDPI, vol. 12(10), pages 1-23, May.
    11. Consiglio, Andrea & Zenios, Stavros A., 1997. "A model for designing callable bonds and its solution using tabu search," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1445-1470, June.
    12. Zenios, Stavros A. & Holmer, Martin R. & McKendall, Raymond & Vassiadou-Zeniou, Christiana, 1998. "Dynamic models for fixed-income portfolio management under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 22(10), pages 1517-1541, August.
    13. L. Smith & Baiqiang Jin, 2007. "Modeling exposure to losses on automobile leases," Review of Quantitative Finance and Accounting, Springer, vol. 29(3), pages 241-266, October.

  59. Zenios, Stavros A., 1991. "Network based models for air-traffic control," European Journal of Operational Research, Elsevier, vol. 50(2), pages 166-178, January.

    Cited by:

    1. Dell'Olmo, Paolo & Lulli, Guglielmo, 2003. "A new hierarchical architecture for Air Traffic Management: Optimisation of airway capacity in a Free Flight scenario," European Journal of Operational Research, Elsevier, vol. 144(1), pages 179-193, January.

  60. Michael H. Schneider & Stavros A. Zenios, 1990. "A Comparative Study of Algorithms for Matrix Balancing," Operations Research, INFORMS, vol. 38(3), pages 439-455, June.

    Cited by:

    1. J. Joseph Beaulieu & Eric J. Bartelsman, 2004. "Integrating Expenditure and Income Data: What to do with the Statistical Discrepancy?," Tinbergen Institute Discussion Papers 04-078/3, Tinbergen Institute.
    2. Nuno Silva, 2010. "Inter-Sector Relations in the Portuguese Economy: an Application of Contingent," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    3. Siddig, Khalid H.A. & Flaig, Dorothee & Luckmann, Jonas & Grethe, Harald, 2011. "A 2004 Social Accounting Matrix for Israel: Documentation of an Economy-Wide Database with a Focus on Agriculture, the Labour Market, and Income Distribution," Working Papers 110156, Universitaet Hohenheim, Institute of Agricultural Policy and Agricultural Markets.
    4. Christopher N. Boyer & Dayton M. Lambert & Charles C. Martinez & Joshua G. Maples, 2023. "Beef and pork processing plant labor costs," Agribusiness, John Wiley & Sons, Ltd., vol. 39(3), pages 691-702, July.
    5. Patriksson, Michael, 2008. "A survey on the continuous nonlinear resource allocation problem," European Journal of Operational Research, Elsevier, vol. 185(1), pages 1-46, February.
    6. Ferris, Michael C. & Munson, Todd S., 2000. "Complementarity problems in GAMS and the PATH solver," Journal of Economic Dynamics and Control, Elsevier, vol. 24(2), pages 165-188, February.
    7. V. Kumar & Alok R. Saboo & Amit Agarwal & Binay Kumar, 2020. "Generating Competitive Intelligence with Limited Information: A Case of the Multimedia Industry," Production and Operations Management, Production and Operations Management Society, vol. 29(1), pages 192-213, January.
    8. Burfisher, Mary & Thierfelder, Karen & Hanson, Kenneth, 1992. "Data Base for a Computable General Equilibrium Model of the Agricultural Sectors of the United States and Mexico and Their Interactions," Staff Reports 278680, United States Department of Agriculture, Economic Research Service.
    9. Michael Lebacher & Göran Kauermann, 2024. "Regression‐based network‐flow and inner‐matrix reconstruction," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 51(4), pages 1730-1748, December.
    10. Yazid Dissou & Lilia Karnizova, 2012. "Emissions Cap or Emissions Tax? A Multi-sector Business Cycle Analysis," Working Papers 1210E, University of Ottawa, Department of Economics.
    11. Eric J. Bartelsman & J. Joseph Beaulieu, 2004. "A consistent accounting of U.S. productivity growth," Finance and Economics Discussion Series 2004-55, Board of Governors of the Federal Reserve System (U.S.).
    12. Peter Stephensen, 2016. "Logit Scaling: A General Method for Alignment in Microsimulation models," International Journal of Microsimulation, International Microsimulation Association, vol. 9(3), pages 89-102.
    13. Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2016. "Pricing Sovereign Contingent Convertible Debt," Working Papers 16-05, University of Pennsylvania, Wharton School, Weiss Center.
    14. Peter Stephensen, 2012. "SBAM: An Algorithm for Pair Matching," DREAM Working Paper Series 201201, Danish Rational Economic Agents Model, DREAM.
    15. Zhaonan Qu & Alfred Galichon & Johan Ugander, 2023. "On Sinkhorn's Algorithm and Choice Modeling," Papers 2310.00260, arXiv.org.
    16. Steven Diamond & Stephen Boyd, 2017. "Stochastic Matrix-Free Equilibration," Journal of Optimization Theory and Applications, Springer, vol. 172(2), pages 436-454, February.
    17. Sue Wing, Ian, 2008. "The synthesis of bottom-up and top-down approaches to climate policy modeling: Electric power technology detail in a social accounting framework," Energy Economics, Elsevier, vol. 30(2), pages 547-573, March.
    18. Casiano Manrique de Lara Peñate & Dolores Rosa Santos Peñate, 2003. "New nonlinear approaches for the adjustment and updating of a SAM," Documentos de trabajo conjunto ULL-ULPGC 2003-07, Facultad de Ciencias Económicas de la ULPGC.
    19. Casiano Manrique de Lara Peñate & Dolores Santos Peñate, 2004. "New nonlinear approaches for the adjustment and updating of a SAM," GE, Growth, Math methods 0402004, University Library of Munich, Germany.
    20. Coleman, Charles, 2016. "A SAS® Macro for the Generalized RAS Algorithm," MPRA Paper 77651, University Library of Munich, Germany, revised 19 Mar 2017.
    21. Peters, Jeffrey C. & Hertel, Thomas, 2015. "The database-modeling nexus in integrated assessment modeling of electric power generation," Conference papers 332638, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    22. Fahimeh Biglari & Farideh Mahmoodpur, 2016. "Scaling Damped Limited-Memory Updates for Unconstrained Optimization," Journal of Optimization Theory and Applications, Springer, vol. 170(1), pages 177-188, July.
    23. João Amador & Luca David Opromolla, . "As Margens das Exportações: Empresas, Produtos e Destinos," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    24. Jose Fique, 2017. "Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data," Staff Working Papers 17-30, Bank of Canada.
    25. Torlak, Elvisa, 2004. "Foreign Direct Investment, Technology Transfer and Productivity Growth. Empirical Evidence for Hungary, Poland, Romania, Bulgaria and the Czech Republic," Conference papers 331189, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    26. Firano, Zakaria & Filali adib, Fatine, 2019. "Intersectorial contagion risk in Morocco," MPRA Paper 95343, University Library of Munich, Germany.
    27. Jonas Zangenberg Hansen & Peter Stephensen & Joachim Borg Kristensen, 2013. "Household Formation and Housing Demand Forecasts," DREAM Working Paper Series 201308, Danish Rational Economic Agents Model, DREAM.
    28. Biglari, Fahimeh, 2015. "Dynamic scaling on the limited memory BFGS method," European Journal of Operational Research, Elsevier, vol. 243(3), pages 697-702.
    29. G. Ferrari & G. Garau & P. Lecca, 2009. "Constructing a Social Accounting Matrix for Sardinia," Working Paper CRENoS 200902, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    30. Romero, Carlos A., 2009. "Calibración de modelos de equilibrio general computado: Métodos y práctica usual [Calibration of CGE models: Methods and current practice]," MPRA Paper 17767, University Library of Munich, Germany.
    31. Francois, Joseph & Spinanger, Dean, 2001. "With Rags to Riches but Then What? Hong Kong's T & C Industry vs. the ATC and China's WTO Accession," Conference papers 330928, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    32. Patrizio Lecca & Javier Barbero Jimenez & Martin Aaroe Christensen & Andrea Conte & Francesco Di Comite & Jorge Diaz-Lanchas & Olga Diukanova & Giovanni Mandras & Damiaan Persyn & Stylianos Sakkas, 2018. "RHOMOLO V3:A Spatial Modelling Framework," JRC Research Reports JRC111861, Joint Research Centre.
    33. Sherman Robinson & Andrea Cattaneo & Moataz El-Said, 2001. "Updating and Estimating a Social Accounting Matrix Using Cross Entropy Methods," Economic Systems Research, Taylor & Francis Journals, vol. 13(1), pages 47-64.
    34. Walmsley, Terrie L., 2002. "Incorporating international ownership of endowments into a global applied general equilibrium model," Economic Modelling, Elsevier, vol. 19(5), pages 679-707, November.
    35. Roberto Roson & Camille Van der Vorst, 2020. "A Social Accounting Matrix for Andalusia," Working Papers 2020:22, Department of Economics, University of Venice "Ca' Foscari".
    36. Amos Golan & Stephen Vogel, 2000. "Estimation of Non-Stationary Social Accounting Matrix Coefficients with Supply-Side Information," Economic Systems Research, Taylor & Francis Journals, vol. 12(4), pages 447-471.
    37. Dale T. Manning & J. Edward Taylor & James E. Wilen, 2018. "General Equilibrium Tragedy of the Commons," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 69(1), pages 75-101, January.
    38. Jeffrey C. Peters & Thomas W. Hertel, 2016. "Matrix balancing with unknown total costs: preserving economic relationships in the electric power sector," Economic Systems Research, Taylor & Francis Journals, vol. 28(1), pages 1-20, March.
    39. Sohani Liyanage & Hussein Dia & Rusul Abduljabbar & Saeed Asadi Bagloee, 2019. "Flexible Mobility On-Demand: An Environmental Scan," Sustainability, MDPI, vol. 11(5), pages 1-39, February.

  61. Ron S. Dembo & John M. Mulvey & Stavros A. Zenios, 1989. "OR Practice—Large-Scale Nonlinear Network Models and Their Application," Operations Research, INFORMS, vol. 37(3), pages 353-372, June.

    Cited by:

    1. F. Guerriero & P. Tseng, 2002. "Implementation and Test of Auction Methods for Solving Generalized Network Flow Problems with Separable Convex Cost," Journal of Optimization Theory and Applications, Springer, vol. 115(1), pages 113-144, October.

  62. Stavros A. Zenios & John M. Mulvey, 1986. "Nonlinear Network Programming on Vector Supercomputers: A Study on the CRAY X-MP," Operations Research, INFORMS, vol. 34(5), pages 667-682, October.

    Cited by:

    1. M. A. Venkataramana & John J. Dinkel & John Mote, 1991. "Vector processing approach to constrained network problems," Naval Research Logistics (NRL), John Wiley & Sons, vol. 38(1), pages 71-85, February.

Chapters

  1. Stavros A. Zenios, 2016. "Self-fulfilling Prophecies in the Cyprus Crisis: ELA, PIMCO, and Delays," World Scientific Book Chapters, in: Alexander Michaelides & Athanasios Orphanides (ed.), THE CYPRUS BAIL-IN POLICY LESSONS FROM THE CYPRUS ECONOMIC CRISIS, chapter 2, pages 9-31, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Gikas A. Hardouvelis & Ioannis Gkionis, 2016. "A Decade Long Economic Crisis: Cyprus versus Greece," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 10(2), pages 3-40, December.
    2. Andreou, Panayiotis C. & Anyfantaki, Sofia, 2021. "Financial literacy and its influence on internet banking behavior," European Management Journal, Elsevier, vol. 39(5), pages 658-674.

  2. Zenios, Stavros A., 1996. "Modeling languages in computational economics: Gams," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 10, pages 471-488, Elsevier.

    Cited by:

    1. Mercado, Ruben & Kendrick, David, 2002. "Introduction to Computational Economywide Modeling with GAMS," MPRA Paper 111973, University Library of Munich, Germany.
    2. Kai Lessmann & Matthias Kalkuhl, 2024. "Climate Finance Intermediation: Interest Spread Effects in a Climate Policy Model," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 11(1), pages 213-251.
    3. Hong Zhang, 2004. "The impact of China's accession to the WTO on its economy: an imperfect competitive CGE analysis," International Economic Journal, Taylor & Francis Journals, vol. 18(1), pages 119-137.

Books

  1. Zenios,Stavros A. (ed.), 1996. "Financial Optimization," Cambridge Books, Cambridge University Press, number 9780521577779, November.

    Cited by:

    1. Mulvey, John M. & Rosenbaum, Daniel P. & Shetty, Bala, 1997. "Strategic financial risk management and operations research," European Journal of Operational Research, Elsevier, vol. 97(1), pages 1-16, February.
    2. Ban Kawas & Aurelie Thiele, 2017. "Log-robust portfolio management with parameter ambiguity," Computational Management Science, Springer, vol. 14(2), pages 229-256, April.

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