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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. ...
Pricing options on scenario trees
(2008)
We examine valuation procedures that can be applied to incorporate options in scenario-based portfolio optimization models. Stochastic programming models use discrete scenarios to represent the stochastic evolution of asset ...
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 ...
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 ...
CVaR models with selective hedging for international asset allocation
(2002)
We develop an integrated simulation and optimization framework for multicurrency asset allocation problems. The simulation applies principal component analysis to generate scenarios depicting the discrete joint distributions ...
Controlling Currency Risk with Options or Forwards
(Springer, 2007)
Controlling currency risk with options or forwards
(Springer International Publishing, 2008)