Strategic foreign reserves risk management: Analytical framework
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Cites work
- scientific article; zbMATH DE number 3659272 (Why is no real title available?)
- scientific article; zbMATH DE number 1233792 (Why is no real title available?)
- A heuristic for moment-matching scenario generation
- A sample-path approach to optimal position liquidation
- Balance Sheet Effects, Bailout Guarantees and Financial Crises
- Introduction to Stochastic Programming
- Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
- Probabilistic values on convex geometries
- Scenario reduction algorithms in stochastic programming
- Strategic foreign reserves risk management: Analytical framework
Cited in
(6)- Liquidity, risk, and return: specifying an objective function for the management of foreign reserves
- A dynamic optimal investing model for international reserves management
- Strategic foreign reserves risk management: Analytical framework
- Strategic asset allocation of a reserves' portfolio: hedging against shocks
- International reserve management: a drift-switching reflected jump-diffusion model
- Optimization for asset allocation of foreign exchange reserve based on multi-objective programming
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