Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
From MaRDI portal
Publication:363597
DOI10.1007/s10479-013-1375-7zbMath1271.91097MaRDI QIDQ363597
Publication date: 3 September 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-013-1375-7
Related Items
Modeling and evaluation of the option book hedging problem using stochastic programming, Portfolio optimization model with and without options under additional constraints, A multistage stochastic programming framework for cardinality constrained portfolio optimization, Multistage portfolio optimization with stocks and options
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