Browsing Τμήμα Διοίκησης Επιχειρήσεων και Δημόσιας Διοίκησης / Department of Business and Public Administration by Subject "Risk management"
Now showing items 1-2 of 2
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Article
A dynamic stochastic programming model for international portfolio management
(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 ...
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Article
Optimizing international portfolios with options and forwards
(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 ...