Integrated dynamic models for hedging international portfolio risks

DOI10.1016/j.ejor.2019.01.027zbMath1441.91073OpenAlexW2909082422WikidataQ128589002 ScholiaQ128589002MaRDI QIDQ2183309

Nikolas Topaloglou, Stavros A. Zenios, Hercules Vladimirou

Publication date: 26 May 2020

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2019.01.027

zbMATH Keywords

stochastic programmingoptions pricinginternational portfolioseurozone crisisselective hedging

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (3)

Robust international portfolio optimization with worst-case mean-CVaR ⋮ Two-stage international portfolio models with higher moment risk measures ⋮ Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19

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