Scenario modelling for selective hedging strategies

DOI10.1016/S0165-1889(03)00057-5zbMath1179.91229OpenAlexW3122463248MaRDI QIDQ951509

Stavros A. Zenios, Andrea Beltratti, Andrea Laurant

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(03)00057-5

zbMATH Keywords

optimizationtransaction costsscenariocurrency hedginginternational asset management

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (7)

Robust international portfolio optimization with worst-case mean-CVaR ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ Integrated dynamic models for hedging international portfolio risks ⋮ A dynamic stochastic programming model for international portfolio management ⋮ A portfolio-based evaluation of affine term structure models ⋮ Solving multistage asset investment problems by the sample average approximation method ⋮ Treasury management model with foreign exchange exposure

Cites Work

• A stochastic programming model for money management
• Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions
• Integrated simulation and optimization models for tracking international fixed income indices
• Scenario generation and stochastic programming models for asset liability management
• Unnamed Item

This page was built for publication: Scenario modelling for selective hedging strategies