Browsing Τμήμα Διοίκησης Επιχειρήσεων και Δημόσιας Διοίκησης / Department of Business and Public Administration by Subject "Decision support systems"
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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 ...