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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 ...
Preface
(2007)
Stability analysis of portfolio management with conditional value-at-risk
(2007)
We examine the stability of a portfolio management model based on the conditional value-at-risk (CVaR) measure
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 ...