Integrated dynamic models for hedging international portfolio risks

DOI10.1016/J.EJOR.2019.01.027MaRDI QIDQ2183309zbMATHOpenAlexWikidataFDO

Authors Nikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios

Publication date 26 May 2020

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2019.01.027

zbMATH Keywords

stochastic programmingoptions pricinginternational portfolioseurozone crisisselective hedging

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15)

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Cited in

(12)

• Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19
• Applications of the integrated approach to international portfolio optimization
• International portfolio selection model with exchange rate risk
• A Dynamic Equilibrium Model of International Portfolio Holdings
• Two-stage international portfolio models with higher moment risk measures
• A dynamic stochastic programming model for international portfolio management
• An evolutionary game theory approach for analyzing risk-based financing schemes
• Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
• Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
• Robust international portfolio optimization with worst-case mean-CVaR
• Scenario modelling for selective hedging strategies
• scientific article; zbMATH DE number 2130849 (Why is no real title available?)

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