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CVaR models with selective hedging for international asset allocation

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  • Topaloglou, Nikolas
  • Vladimirou, Hercules
  • Zenios, Stavros A.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-46082KT-6/2/8f7d7cb75f9580435adcd55c5d8aac17
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 26 (2002)
Issue (Month): 7 (July)
Pages: 1535-1561

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Handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1535-1561

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Web page: http://www.elsevier.com/locate/jbf

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References

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  1. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.
  2. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
  3. Glen, Jack & Jorion, Philippe, 1993. " Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-86, December.
  4. Black, Fischer, 1990. " Equilibrium Exchange Rate Hedging," Journal of Finance, American Finance Association, vol. 45(3), pages 899-907, July.
  5. Peter A. Abken & Milind M. Shirkhande, 1997. "The role of currency derivatives in internationally diversified portfolios," Economic Review, Federal Reserve Bank of Atlanta, issue Q 3, pages 34-59.
  6. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  7. Norbert Jobst & Stavros A. Zenios, 2001. "The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios," Center for Financial Institutions Working Papers 01-24, Wharton School Center for Financial Institutions, University of Pennsylvania.
  8. Eun, Cheol S & Resnick, Bruce G, 1988. " Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection," Journal of Finance, American Finance Association, vol. 43(1), pages 197-215, March.
  9. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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Cited by:
  1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
  2. Raquel J. Fonseca & Steve Zymler & Wolfram Wiesemann & Berc Rustem, 2009. "Robust Optimization of Currency Portfolios," Working Papers 012, COMISEF.
  3. David E Allen & Akhmad R. Kramadibrata & R. J. Powell & Abhay Kumar Singh, 2011. "Tail Risk for Australian Emerging Market Entities," Working papers 2011-07, Edith Cowan University, School of Accounting Finance & Economics.

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