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Vasileios E. Kontosakos
Vasileios E. Kontosakos
Group Risk - Allianz SE
Verified email at allianz.com
Title
Cited by
Cited by
Year
Cryptocurrencies: Dust in the wind?
M Luo, VE Kontosakos, AA Pantelous, J Zhou
Physica A: Statistical Mechanics and its Applications 525, 1063-1079, 2019
112019
Pricing discretely-monitored double barrier options with small probabilities of execution
VE Kontosakos, K Mendonca, AA Pantelous, KM Zuev
European Journal of Operational Research 290 (1), 313-330, 2021
42021
Disappointment Aversion and Long-Term Dynamic Asset Allocation
V Kontosakos, S Hwang, V Kallinterakis, AA Pantelous
Available at SSRN, 2019
22019
Long-term dynamic asset allocation under asymmetric risk preferences
VE Kontosakos, S Hwang, V Kallinterakis, AA Pantelous
European Journal of Operational Research 312 (2), 765-782, 2024
12024
Dynamic Asset Allocation under Disappointment Aversion Preferences
VE Kontosakos, S Hwang, V Kallinterakis, AA Pantelous
Working paper, 2018
12018
Efficient pricing of barrier options on high volatility assets using subset simulation
K Mendonca, VE Kontosakos, AA Pantelous, KM Zuev
arXiv preprint arXiv:1803.03364, 2018
12018
An efficient rare event simulation-based methodology for pricing and risk management of financial derivatives
E Clark, V Kontosakos, S Mitra, AA Pantelous
Available at SSRN 4118436, 2023
2023
Fast Quadratic Programming for Mean-Variance Portfolio Optimization
V Kontosakos
SN Operations Research Forum, 2020
2020
Dynamic and Simulation-Based Optimization for Portfolio Choice and Derivatives Pricing
V KONTOSAKOS
Monash University, 0
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Articles 1–9