Stability Analysis of a Portfolio Management Model (2003)
Michal Kaut, Stein W. Wallace, Hercules Vladimirou, Stavros A. Zenios
We examine the stability of a portfolio management model based on the conditional valueat -risk (CVaR) measure. The stochastic programming model controls total risk exposure of an international...
A Stochastic Programming Framework for International PortfolioManagement
Hercules Vladimirou, Nikolas Topaloglou, Stavros A. Zenios
We present a multi-stage stochastic programming model for managing portfolios of stock and bond indices denominated in multiple currencies. The portfolios are exposed to market risks and currency...
CVaR models with selective hedging for international asset allocation
Topaloglou, Nikolas, Vladimirou, Hercules, Zenios, Stavros A.
Stability analysis of portfolio management with conditional value-at-risk
Michal Kaut, Hercules Vladimirou, Stein W. Wallace, Stavros A. Zenios
We examine the stability of a portfolio management model based on the conditional value-at-risk (CVaR) measure; the model controls risk exposure of international investment portfolios. We use a...
A dynamic stochastic programming model for international portfolio management
Topaloglou, Nikolas, Vladimirou, Hercules, Zenios, Stavros A.
Pricing options on scenario trees
Topaloglou, Nikolas, Vladimirou, Hercules, Zenios, Stavros A.
We examine valuation procedures that can be applied to incorporate options in scenario-based portfolio optimization models. Stochastic programming models use discrete scenarios to represent the...