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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 ...
Preface
(1995)
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
Stochastic linear programs with restricted recourse
(1997)
Stochastic programs with recourse provide an effective modeling paradigm for sequential decision problems with uncertain or noisy data, when uncertainty can be modeled by a discrete set of scenarios. In two-stage problems ...