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Now showing items 141-150 of 150
Optimization for financial engineering: a special issue
(Springer US, 2017)
Integrated dynamic models for hedging international portfolio risks
(2020)
We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide increasing level of integration in managing market and foreign exchange (FX) risks. ...
An Integrative Approach to Strategy: Option Games
(The MIT Press., 2011)
This chapter first discusses how option games can provide useful insights to management faced with conflicting strategic choices. It highlights two issues: optimal investment timing and the trade-off between flexibility ...
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
(2018)
We develop robust models for optimization of the VaR (value at risk) and CVaR (conditional value at risk) risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and ...
Portfolio diversification in the sovereign credit swap markets
(2018)
We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...
Disruptive Innovation, Market Entry and Production Flexibility in Heterogeneous Oligopoly
(2019)
We develop a model of oligopoly competition involving innovation effort, market entry and production flexibility under demand uncertainty. Several heterogeneous firms make efforts to develop new prototypes