Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
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Cites work
- scientific article; zbMATH DE number 1233792 (Why is no real title available?)
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Cited in
(11)- Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
- Portfolio optimization model with and without options under additional constraints
- Modeling and evaluation of the option book hedging problem using stochastic programming
- The relative efficiency of option hedging strategies using the third-order stochastic dominance
- Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
- Integrated dynamic models for hedging international portfolio risks
- The duality of option investment strategies for hedge funds
- Multistage portfolio optimization with stocks and options
- Multistage optimization of option portfolio using higher order coherent risk measures
- 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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