An Optimal Parallel Implementation of a Quadratic Transportation Algorithm (2007)
McKenna, Mike, Zenios, Stavros A.
We discuss the implementation of a quadratic transportation algorithm on massively parallel computer architectures with hypercube communication networks. The implementation is optimal in the sense...
Stability Analysis of a Portfolio Management Model (2003)
Michal Kaut, Stein W. Wallace, Hercules Vladimirou, Stavros A. Zenios
We examine the stability of a portfolio management model based on the conditional valueat -risk (CVaR) measure. The stochastic programming model controls total risk exposure of an international...
Insurance League: Italy vs. UK (2003)
Andrea Consiglio, David Saunders, Stavros A. Zenios
Insurance companies have been turning to innovative products in order to attract clients who are seeking, today, integration of their actuarial risks with financial risks. Products with guaranteed...
Scenario Optimization Asset and Liability (2002)
Andrea Consiglio, Flavio Cocco, Stavros A. Zenios
We develop a scenario optimization model for asset and liability management of individual investors. The individual has a given level of initial wealth and a target goal to be reached within some...
www.Personal Asset Allocation (2002)
Andrea Consiglio, Flavio Cocco, Stavros A. Zenios
Today consumers are demanding anytime-anywhere delivery of financial services, while demonstrating a rapid evolution of their needs and desires. At the same time the World Wide Web provides a rich...
Asset and Liability Modeling for Participating Policies with Guarantees (2002)
Andrea Consiglio, Flavio Cocco, Stavros A. Zenios
We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management,...
Stochastic Programming Models for Asset Liability Management (2001)
Roy Kouwenberg, Stavros A. Zenios
Stochastic programming is a powerful modelling paradigm for asset and liability management problems. It incorporates in a common framework multiple correlated sources of risk for both the asset and...
Asset and Liability Modeling for Participating Policies with Guarantees (2001)
Franklin Allen, Richard J. Herring, Andrea Consiglio, Flavio Cocco, Stavros A. Zenios
We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management,...
Parallel and Vector Computing for Nonlinear Network Optimization. (1998)
A massively parallel algorithm for nonlinear multicommodity flow problems has been designed and tested. A new promising algorithm for quadratic stochastic programs with network structures has also...
Data-level Parallel Solution of Min-cost Network Flow Problems Using (1998)
this report is restricted to network flow problems.
A Stochastic Programming Model for Funding Single Premium Deferred Annuities (1997)
Soren S. Nielsen, Stavros A. Zenios
Single Premium Deferred Annuities (SPDAs) are investment vehicles, offered to investors by insurance companies as a means of providing income past their retirement age. They are mirror images of...
Scalable Parallel Benders Decomposition for Stochastic Linear Programming (1997)
Soren S. Nielsen, Stavros A. Zenios
We develop a scalable parallel implementation of the classical Benders decomposition algorithm for two-stage stochastic linear programs. Using a primal-dual, path-following algorithm for solving the...
Solving Multistage Stochastic Network Programs on Massively Parallel Computers (1997)
Soren S. Nielsen, Stavros A. Zenios
Multi-stage stochastic programs are typically extremely large, and can be prohibitively expensive to solve on the computer. In this paper we develop an algorithm for multistage programs that...
Data-level Parallel Solution of Min-cost Network Flow Problems Using epsilon-Relaxations (1995)
this report is restricted to network flow problems. Several classes of nonlinear network optimization problems have benefited from the design and implementation of massively parallel algorithms. For...
On Massively Parallel Algorithm for Nonlinear Stochastic Network Problems (1990)
Nielson, Soren S., Zenios, Stavros A.
We develop an algorithm for solving nonlinear two-stage stochastic problems with network recourse. The algorithm is based on the framework of row-action methods. The problem is formulated by...
On the Fine-Grain Decomposition of Multicommodity Transportation Problems (1990)
We develop algorithms for nonlinear problems with multicommodity transportation constraints. The algorithms are of the row-action type and, when properly applied,decompose the underlying graph...
On the Fine-Grain Decomposition of Multicommodity Transportation Problems (1990)
We develop algorithms for nonlinear problems with multicommodity transportation constraints. The algorithms are of the row-action type and, when properly applied,decompose the underlying graph...
On Massively Parallel Algorithm for Nonlinear Stochastic Network Problems (1990)
Nielson, Soren S., Zenios, Stavros A.
We develop an algorithm for solving nonlinear two-stage stochastic problems with network recourse. The algorithm is based on the framework of row-action methods. The problem is formulated by...
Efficiency, Profitability and Quality of Banking Services (1970)
Anthony M. Santomero, Andreas Soteriou, Stavros A. Zenios
This paper develops a general framework for combining strategic benchmarking with efficiency benchmarking of the services offered by bank branches. In particular, the service-profit chain is cast as...
Scenario Modeling for the Management of International Bond Portfolios
Andrea Beltratti, Andrea Consiglio, Stavros A. Zenios
We address the problem of portfolio management in the international bond markets. Interest rate risk in the local market, exchange rate volatility across markets, and decisions for hedging currency...
A Stochastic Programming Framework for International PortfolioManagement
Hercules Vladimirou, Nikolas Topaloglou, Stavros A. Zenios
We present a multi-stage stochastic programming model for managing portfolios of stock and bond indices denominated in multiple currencies. The portfolios are exposed to market risks and currency...
Financial Products with Guarantees: Applications, Models and Internet-based services
Andrea Consiglio, Stavros A. Zenios
Endowments with a minimum guaranteed rate of return appear in insurance policies, pension plans and social security plans. In several cases, especially in the insurance industry, such endowments also...
CVaR models with selective hedging for international asset allocation
Topaloglou, Nikolas, Vladimirou, Hercules, Zenios, Stavros A.
Dynamic models for fixed-income portfolio management under uncertainty
Zenios, Stavros A., Holmer, Martin R., McKendall, Raymond, Vassiadou-Zeniou, Christiana
Stability analysis of portfolio management with conditional value-at-risk
Michal Kaut, Hercules Vladimirou, Stein W. Wallace, Stavros A. Zenios
We examine the stability of a portfolio management model based on the conditional value-at-risk (CVaR) measure; the model controls risk exposure of international investment portfolios. We use a...
A dynamic stochastic programming model for international portfolio management
Topaloglou, Nikolas, Vladimirou, Hercules, Zenios, Stavros A.
A stochastic programming model for money management
Golub, Bennett, Holmer, Martin, McKendall, Raymond, Pohlman, Lawrence, Zenios, Stavros A.