A dynamic stochastic programming model for international portfolio management

DOI10.1016/j.ejor.2005.07.035zbMath1129.90041OpenAlexW2088374530MaRDI QIDQ2464234

Hercules Vladimirou, Stavros A. Zenios, Nikolas Topaloglou

Publication date: 10 December 2007

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.07.035

zbMATH Keywords

stochastic programmingscenariosrisk managementinternational portfolios

Mathematics Subject Classification ID

Related Items (28)

Corporate hedging: an answer to the ``how question ⋮ Resource allocation with stochastic optimal control approach ⋮ A multi-step rolled forward chance-constrained model and a proactive dynamic approach for the wheat crop quality control problem ⋮ Multi-stage portfolio selection problem with dynamic stochastic dominance constraints ⋮ Recursive risk measures under regime switching applied to portfolio selection ⋮ The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems ⋮ Multiperiod portfolio investment using stochastic programming with conditional value at risk ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ A multistage stochastic programming framework for cardinality constrained portfolio optimization ⋮ Robust international portfolio management ⋮ International portfolio management with affine policies ⋮ Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks ⋮ Transparent structured products for retail investors ⋮ Integrated dynamic models for hedging international portfolio risks ⋮ Two-stage international portfolio models with higher moment risk measures ⋮ On valuing and hedging European options when volatility is estimated directly ⋮ Portfolio Choice Models Based on Second-Order Stochastic Dominance Measures: An Overview and a Computational Study ⋮ Scenario tree generation and multi-asset financial optimization problems ⋮ Handling CVaR objectives and constraints in two-stage stochastic models ⋮ Robust hedging strategies ⋮ A multi-objective multi-period stochastic programming model for public debt management ⋮ Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility ⋮ Cash management using multi-stage stochastic programming ⋮ Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns ⋮ Multistage portfolio optimization with stocks and options ⋮ Portfolio selection based on Bayesian theory ⋮ Risk management for international portfolios with basket options: A multi-stage stochastic programming approach ⋮ Unnamed Item

Uses Software

• GAMS

Cites Work

• Unnamed Item
• Unnamed Item
• Generating Scenario Trees for Multistage Decision Problems
• Scenario modelling for selective hedging strategies
• Scenario reduction in stochastic programming
• Scalable parallel computations for large-scale stochastic programming
• A heuristic for moment-matching scenario generation
• Scenario reduction algorithms in stochastic programming
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• Coherent Measures of Risk
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Applications of Stochastic Programming
• Scenarios for multistage stochastic programs

This page was built for publication: A dynamic stochastic programming model for international portfolio management