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Robust international portfolio management

Listed author(s):
  • Raquel Fonseca

    ()

  • Wolfram Wiesemann
  • Berç Rustem

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s10287-011-0132-0
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Article provided by Springer in its journal Computational Management Science.

Volume (Year): 9 (2012)
Issue (Month): 1 (February)
Pages: 31-62

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Handle: RePEc:spr:comgts:v:9:y:2012:i:1:p:31-62
DOI: 10.1007/s10287-011-0132-0
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/business+%26+management/operations+research/journal/10287/PS2

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  1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "A dynamic stochastic programming model for international portfolio management," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1501-1524, March.
  2. Glen, Jack & Jorion, Philippe, 1993. " Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-1886, December.
  3. Raquel J. Fonseca & Steve Zymler & Wolfram Wiesemann & Berc Rustem, 2009. "Robust Optimization of Currency Portfolios," Working Papers 012, COMISEF.
  4. Glen A. Larsen, Jr. & Bruce G. Resnick, 2000. "The Optimal Construction of Internationally Diversified Equity Portfolios Hedged Against Exchange Rate Uncertainty," European Financial Management, European Financial Management Association, vol. 6(4), pages 479-514.
  5. 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.
  6. T. S. Ho & Richard C. Stapleton & Marti G. Subrahmanyam, 1995. "Correlation risk, cross-market derivative products and portfolio performance," European Financial Management, European Financial Management Association, vol. 1(2), pages 105-124.
  7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
  8. Zymler, Steve & Rustem, Berç & Kuhn, Daniel, 2011. "Robust portfolio optimization with derivative insurance guarantees," European Journal of Operational Research, Elsevier, vol. 210(2), pages 410-424, April.
  9. Isabelle Huault & V. Perret & S. Charreire-Petit, 2007. "Management," Post-Print halshs-00337676, HAL.
  10. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  11. Shawky, Hany A. & Kuenzel, Rolf & Mikhail, Azmi D., 1997. "International portfolio diversification: a synthesis and an update," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 303-327, December.
  12. Steil, Benn, 1993. "Currency Options and the Optimal Hedging of Contingent Foreign Exchange Exposure," Economica, London School of Economics and Political Science, vol. 60(240), pages 413-431, November.
  13. Rustem, Berc, 1995. "Computing optimal multi-currency mean-variance portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 901-908.
  14. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-675, September.
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