Risk management for international portfolios with basket options: A multi-stage stochastic programming approach

DOI10.1007/S11424-015-3001-ZzbMATH Open1332.93386OpenAlexW816347767MaRDI QIDQ256732FDOQ256732

Authors: Libo Yin, Li Yan Han 

Publication date: 10 March 2016

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-015-3001-z

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zbMATH Keywords

basket optionsoptions applicationsportfolio optimizationrisk managementstochastic programming

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15) Optimal stochastic control (93E20)

Cites Work

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Cited In (5)

• A dynamic stochastic programming model for international portfolio management
• Mechanisms of collaboration in the hotel supply chain: two-stage ordering contract and option contract
• Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
• Scenario-based stochastic resource allocation with uncertain probability parameters
• Fuzzy views on Black-Litterman portfolio selection model

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