Robust international portfolio management
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- 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.
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- Jun-ya Gotoh & Akiko Takeda, 2011. "On the role of norm constraints in portfolio selection," Computational Management Science, Springer, pages 323-353.
- 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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KeywordsSemidefinite programming; Robust optimization; International portfolio optimization; Risk management; Quanto options;
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