Browsing Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance by Subject "Eurozone crisis"
Now showing items 1-3 of 3
-
Working Paper Open Access
Integrated dynamic models for hedging international portfolio
(The Wharton Financial Institutions CenterThe Wharton School, University of Pennsylvania, PA, 2017-12)We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide an increasing level of integration in managing market and foreign exchange (FX) ...
-
Working Paper Open Access
Portfolio diversification in the sovereign credit swap markets
(Springer, 2017-05)We develop models for portfolio diversification in the sovereign credit default swap (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...
-
Working Paper Open Access
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2016-04)We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ...