Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
From MaRDI portal
Publication:363597
DOI10.1007/s10479-013-1375-7zbMath1271.91097OpenAlexW2154562380MaRDI 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
A multistage stochastic programming framework for cardinality constrained portfolio optimization ⋮ Portfolio optimization model with and without options under additional constraints ⋮ Multistage portfolio optimization with stocks and options ⋮ Modeling and evaluation of the option book hedging problem using stochastic programming
Cites Work
- Unnamed Item
- Generating Scenario Trees for Multistage Decision Problems
- Optimal portfolio selection and dynamic benchmark tracking
- Multi-objective stochastic programming for portfolio selection
- Hedging strategy for a portfolio of options and stocks with linear programming
- Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
- Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999
- Scenario modelling for selective hedging strategies
- Options strategies with the risk adjustment
- Mortgage loan portfolio optimization using multi-stage stochastic programming
- Asset-liability management for Czech pension funds using stochastic programming
- Tracking error: a multistage portfolio model
- A stochastic programming model for money management
- Dynamic stochastic programming for asset-liability management
- Optimal control of option portfolios and applications
- A model for portfolio management with mortgage-backed securities
- Scenario reduction in stochastic programming
- Minimum-cost portfolio insurance
- A heuristic for moment-matching scenario generation
- Scenario reduction algorithms in stochastic programming
- Option strategies with linear programming
- A stochastic programming model for the optimal issuance of government bonds
- Scenario tree reduction for multistage stochastic programs
- An approach to the valuation and decision of ERP investment projects based on real options
- Scenario tree generation and multi-asset financial optimization problems
- Risk management of a bond portfolio using options
- A dynamic stochastic programming model for international portfolio management
- Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
- A stochastic programming model for asset liability management of a Finnish pension company
- Financial scenario generation for stochastic multi-stage decision processes as facility location problems
- Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis
- Constructing Risk Measures from Uncertainty Sets
- From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
- Comment on “Generating Scenario Trees for Multistage Decision Problems”
- Cash management using multi-stage stochastic programming
- A stochastic programming model for currency option hedging
- Optimal investment in derivative securities
- Scenario generation and stochastic programming models for asset liability management
This page was built for publication: Options strategies for international portfolios with overall risk management via multi-stage stochastic programming