A dynamic stochastic programming model for international portfolio management
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References listed on IDEAS
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- Wong, Man Hong, 2013. "Investment models based on clustered scenario trees," European Journal of Operational Research, Elsevier, vol. 227(2), pages 314-324.
- Raquel J. Fonseca & Steve Zymler & Wolfram Wiesemann & Berc Rustem, 2009. "Robust Optimization of Currency Portfolios," Working Papers 012, COMISEF.
- Sun, Qi & Dong, Yucheng & Xu, Weidong, 2013. "Effects of higher order moments on the newsvendor problem," International Journal of Production Economics, Elsevier, vol. 146(1), pages 167-177.
- Fonseca, Raquel J. & Rustem, Berç, 2012. "International portfolio management with affine policies," European Journal of Operational Research, Elsevier, vol. 223(1), pages 177-187.
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- Balibek, Emre & Köksalan, Murat, 2010. "A multi-objective multi-period stochastic programming model for public debt management," European Journal of Operational Research, Elsevier, vol. 205(1), pages 205-217, August.
- repec:spr:annopr:v:239:y:2016:i:2:d:10.1007_s10479-014-1653-z is not listed on IDEAS
- Nonthachote Chatsanga & Andrew J. Parkes, 2016. "International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints," Papers 1611.01463, arXiv.org.
- Borodin, Valeria & Bourtembourg, Jean & Hnaien, Faicel & Labadie, Nacima, 2015. "A multi-step rolled forward chance-constrained model and a proactive dynamic approach for the wheat crop quality control problem," European Journal of Operational Research, Elsevier, vol. 246(2), pages 631-640.
- Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
- Popovic, Ray & Goldsman, David, 2012. "On valuing and hedging European options when volatility is estimated directly," European Journal of Operational Research, Elsevier, vol. 218(1), pages 124-131.
- Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova, 2013.
"Sovereign Risk and Asset and Liability Management—Conceptual Issues,"
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- Udaibir S Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova, 2012. "Sovereign Risk and Asset and Liability Management; Conceptual Issues," IMF Working Papers 12/241, International Monetary Fund.
- repec:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2645-6 is not listed on IDEAS
- Nonthachote Chatsanga & Andrew J. Parkes, 2017. "Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios," Papers 1704.01174, arXiv.org.
- Lu, Jin-Ray & Chan, Chih-Ming & Wen, Mei-Hui, 2012. "Which demands affect optimal international portfolio choices?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1292-1306.
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