The diversification of currency loans: A comparison between safety-first and mean-variance criteria

DOI10.1016/0377-2217(94)90100-7zbMath0803.90009OpenAlexW1970452161MaRDI QIDQ1330576

Juha Seppälä

Publication date: 21 July 1994

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(94)90100-7

zbMATH Keywords

chance-constrained programmingfinanceportfolio selectioncurrency loan problem

Mathematics Subject Classification ID

Related Items (1)

Gains from diversification on convex combinations: a majorization and stochastic dominance approach

Cites Work

• Experimental study on the efficiency and accuracy of a chance-constrained programming algorithm
• A Stochastic Programming Model
• A chance-constrained programming algorithm
• Constructing Sets of Uniformly Tighter Linear Approximations for a Chance Constraint
• Safety First and the Holding of Assets
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