Vasileios Kontosakos

Group Risk - Allianz SE

Königinstrasse 28

Munich, 80802

Germany

SCHOLARLY PAPERS

5

DOWNLOADS

1,336

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Long-Term Dynamic Asset Allocation Under Asymmetric Risk Preferences

European Journal of Operational Research, Volume 312, Issue 2, pp. 765-782, 16 January 2024, DOI 10.1016/j.ejor.2023.07.038
Number of pages: 55 Posted: 22 Oct 2018 Last Revised: 25 Oct 2023
Group Risk - Allianz SE, Sungkyunkwan University - Department of Economics, University of Liverpool - Management School (ULMS) and Monash University - Department of Econometrics & Business Statistics
Downloads 438 (124,515)
Citation 4

Abstract:

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Decision analysis, Asset Allocation, Asymmetric Risk Preferences, Parameter uncertainty, Simulation Study

2.

Cryptocurrencies: Dust in the Wind?

Physica A: Statistical Mechanics and its Applications, Volume 525, pp. 1063-1079, July 2019, DOI: 10.1016/j.physa.2019.03.123
Number of pages: 43 Posted: 22 Oct 2018 Last Revised: 07 Oct 2020
Min Luo, Vasileios Kontosakos, Athanasios A. Pantelous and Jian Zhou
Shanghai University, Group Risk - Allianz SE, Monash University - Department of Econometrics & Business Statistics and Shanghai University, School of Management
Downloads 267 (212,893)

Abstract:

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Generalized Hyperbolic Distributions; Distribution Fitting; Cryptocurrency; Bitcoin; Foreign Exchange Market

3.

Fast Quadratic Programming for Mean-Variance Portfolio Optimization

Number of pages: 21 Posted: 22 May 2020 Last Revised: 21 Aug 2020
Vasileios Kontosakos
Group Risk - Allianz SE
Downloads 253 (224,606)

Abstract:

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Quadratic programming, Vectorization, Portfolio Optimization, Algorithmic efficiency

4.

Pricing Discretely-Monitored Double Barrier Options with Small Probabilities of Execution

European Journal of Operational Research, Volume 290, Issue 1, pp. 313-330, 1 April 2021, DOI 10.1016/j.ejor.2020.07.044
Number of pages: 36 Posted: 01 Mar 2018 Last Revised: 19 Dec 2020
Group Risk - Allianz SE, California Institute of Technology - Department of Computing and Mathematical Sciences, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 239 (237,519)
Citation 3

Abstract:

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Simulation; Barrier options pricing; Rare event; Path–dependent derivatives; Discrete monitoring

5.

Pricing and Risk Management of Financial and Credit Derivatives For Rare Event Modelling

Number of pages: 70 Posted: 08 Jun 2022 Last Revised: 26 Jan 2024
Middlesex University Business School, Group Risk - Allianz SE, University of Westminster, Monash University - Department of Econometrics & Business Statistics and University of Edinburgh Business School
Downloads 139 (382,996)

Abstract:

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Simulation; Risk management; Rare events; Barrier options; Barrier option hedging; Credit Default Swaps.