Scenario modelling for selective hedging strategies
type: Item
instance of: scholarly article
title: Scenario modelling for selective hedging strategies
zbMATH Open document ID: 1179.91229
DOI: 10.1016/S0165-1889(03)00057-5
author: A. Beltratti
author: Andrea Laurant
author: Stavros A. Zenios
publication date: 2008-10-24T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G50
zbMATH DE Number: 5356932
zbMATH Keywords: scenario
zbMATH Keywords: currency hedging
zbMATH Keywords: transaction costs
zbMATH Keywords: optimization
zbMATH Keywords: international asset management
MaRDI profile type: Publication
cites work: Q4718793
cites work: Integrated simulation and optimization models for tracking international fixed income indices
cites work: A stochastic programming model for money management
cites work: Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions
cites work: Scenario generation and stochastic programming models for asset liability management
full work available at URL: s0165-1889(03)00057-5
OpenAlex ID: W3122463248
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5356932