Browsing Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance by Subject "International portfolios"

Now showing items 1-3 of 3

    • Article  

      A dynamic stochastic programming model for international portfolio management 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2008)
      We develop a multi-stage stochastic programming model for international portfolio management in a dynamic setting. We model uncertainty in asset prices and exchange rates in terms of scenario trees that reflect the empirical ...
    • Working Paper  Open Access

      Integrated dynamic models for hedging international portfolio 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (The Wharton Financial Institutions CenterThe Wharton School, University of Pennsylvania, PA, 2017-12)
      We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide an increasing level of integration in managing market and foreign exchange (FX) ...
    • Article  

      Optimizing international portfolios with options and forwards 

      Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, Stavros A. (2011)
      We develop a stochastic programming model to address in a unified manner a number of interrelated decisions in international portfolio management: optimal portfolio diversification and mitigation of market and currency ...