Professor Stavros Zenios' Outputs (7)

Hedging political risk in international portfolios (2024)
Journal Article
Lotfi, S., Pagliardi, G., Paparoditis, E., & Zenios, S. A. (2025). Hedging political risk in international portfolios. European Journal of Operational Research, 322(2), 629-646. https://doi.org/10.1016/j.ejor.2024.10.017

We show that internationally diversified portfolios carry sizeable political risk premia and expose investors to tail risk. We obtain political efficient frontiers with and without hedging political risk using a portfolio selection... Read More about Hedging political risk in international portfolios.

GDP-linked bonds as a new asset class (2024)
Journal Article
Papavassiliou, E., Topaloglou, N., & Zenios, S. A. (2024). GDP-linked bonds as a new asset class. Quantitative Finance, 24(8), 1177-1195. https://doi.org/10.1080/14697688.2024.2386323

Sovereign Debt Risk Management (2024)
Book Chapter
Consiglio, A., & Zenios, S. A. (2024). Sovereign Debt Risk Management. In P. M. Pardalos, & O. A. Prokopyev (Eds.), Encyclopedia of Optimization (1-13). Springer Nature. https://doi.org/10.1007/978-3-030-54621-2_905-1

Robust Optimization (2024)
Book Chapter
Goei Loke, G., Lotfi, S., & Zenios, S. A. (2024). Robust Optimization. . Springer Nature. https://doi.org/10.1007/978-3-030-54621-2_570-1

Analysts building mathematical models for real-world systems often face challenges with uncertain, noisy, incomplete, or erroneous data.

The climate-sovereign debt doom loop: what does the literature suggest? (2024)
Journal Article
Zenios, S. A. (2024). The climate-sovereign debt doom loop: what does the literature suggest?. Current Opinion in Environmental Sustainability, 67, Article 101414. https://doi.org/10.1016/j.cosust.2024.101414

The current literature documents significant effects of climate change on the cost of sovereign debt and debt levels. These effects are due to a complex nexus of climate change systemic effects on the economy, characterized by deep uncertainty, fat t... Read More about The climate-sovereign debt doom loop: what does the literature suggest?.

Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance (2024)
Journal Article
Lotfi, S., & Zenios, S. A. (2024). Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance. Review of Managerial Science, 18(7), 2115-2140. https://doi.org/10.1007/s11846-023-00715-z

We develop a robust mean-to-CVaR portfolio optimization model under interval ambiguity in returns means and covariance. The robust model satisfies second-order stochastic dominance consistency and is formulated as a semi-definite cone program. We use... Read More about Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance.

Mispricing of debt expansion in the eurozone sovereign credit market (2023)
Journal Article
Lotfi, S., Milidonis, A., & Zenios, S. A. (2024). Mispricing of debt expansion in the eurozone sovereign credit market. Journal of Financial Stability, 70, Article 101215. https://doi.org/10.1016/j.jfs.2023.101215

We find evidence consistent with risk mispricing in the eurozone sovereign credit market for crisis and non-crisis countries alike, using a novel variable of sovereign debt expansion (DE) that we construct. DE predicts increased default probability,... Read More about Mispricing of debt expansion in the eurozone sovereign credit market.