Now showing items 1-10 of 29
Integrated dynamic models for hedging international portfolio risks
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. ...
Fatigue and freeze-thaw resistance of epoxy mortar
Results of tests to investigate resistance of epoxy mortar to fatigue and freeze-thaw exposure are reported. Fatigue resistance is evaluated by number of load reversals sustained against a repeated impactive loading at ...
Pricing options on scenario trees
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
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 ...
Stochastic Network Programming for Financial Planning Problems
Several financial planning problems are posed as dynamic generalized network models with stochastic parameters. Examples include: asset allocation for portfolio selection, international cash management, and programmed-trading ...
Stochastic network optimization models for investment planning
We describe and compare stochastic network optimization models for investment planning under uncertainty. Emphasis is placed on multiperiod a sset allocation and active portfolio management problems. Myopic as well as ...