Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
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Publication:363597
DOI10.1007/S10479-013-1375-7zbMATH Open1271.91097OpenAlexW2154562380MaRDI QIDQ363597FDOQ363597
Authors: Libo Yin, Li Yan Han 
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
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Cited In (6)
- Portfolio optimization model with and without options under additional constraints
- Modeling and evaluation of the option book hedging problem using stochastic programming
- The duality of option investment strategies for hedge funds
- Multistage portfolio optimization with stocks and options
- Hedging strategy for a portfolio of options and stocks with linear programming
- A multistage stochastic programming framework for cardinality constrained portfolio optimization
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