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Controlling Currency Risk with Options or Forwards
16 references·0 citing·51 second hop
Controlling Currency Risk with Options or Forwards (2008)Controlling Currency Risk with Options or…Accounting for Biases in Black-Scholes (2004)Accounting for Biases in Blac…A Heuristic for Moment-Matching Scenario Generation (2003)A Heuristic for Moment-Matchi…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Scenarios for Multistage Stochastic Programs (2000)Scenarios for Multistage Stoc…Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…Nonparametric Risk Management and Implied Risk Aversion (2000)Nonparametric Risk Management…The Dutch Triangle (1999)The Dutch TriangleSKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES (1996)SKEWNESS AND KURTOSIS IN S&P …Option Pricing and the Martingale Restriction (1995)Option Pricing and the Martin…Mean/Variance Analysis of Currency Overlays (1994)Mean/Variance Analysis of Cur…CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS (1994)CONTINGENT CLAIMS VALUED AND …Downside risk (1991)Downside riskExchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection (1988)Exchange Rate Uncertainty, Fo…Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Portfolio Selection: Efficient Diversification of Investments (1959)Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Stochastic Programming (1995)Scenario Reduction Algorithms in Stochastic Programming (2003)Scenario reduction in stochastic programming (2003)The design of robust value-creating supply chain networks: A critical review (2009)Simulating Multivariate Nonnormal Distributions (1983)Formulation of the Russell-Yasuda Kasai Financial Planning Model (1998)Generating Scenario Trees for Multistage Decision Problems (2001)Evaluation of scenario-generation methods for stochastic programming (2003)Scenario tree modeling for multistage stochastic programs (2007)Monte Carlo sampling-based methods for stochastic optimization (2014)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)Theory of Financial Decision Making. (1988)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Option-Implied Risk-Neutral Distributions and Implied Binomial Trees (1999)Skewness in financial returns (1999)Autoregresive conditional volatility, skewness and kurtosis (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)International Diversification of Investment Portfolios (1970)An Analytic Derivation of the Efficient Portfolio Frontier (1972)International Portfolio Choice and Corporation Finance: A Synthesis (1983)An Information Based Explanation of the Domestic Bias in International Equity Investment (1993)Currency Hedging for International Portfolios (1993)Systematic Risk of the Multinational Corporation (1998)The financial analysts journal (1960)The journal of financial economics (1993)Learning to trade via direct reinforcement (2001)Does the choice of performance measure influence the evaluation of hedge funds? (2007)Portfolio Performance Manipulation and Manipulation-proof Performance Measures (2007)Theory of Rational Option Pricing (1973)Recovering Risk Aversion from Option Prices and Realized Returns (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Expected Stock Returns and Variance Risk Premia (2009)The Econometrics of Financial Markets (2012)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 1991Downside risk604 cited
  • 2000Scenarios for Multistage Stochastic Programs475 cited
  • 2003A Heuristic for Moment-Matching Scenario Generation409 cited
  • 1988Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection360 cited
  • 1996SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES321 cited
  • 2000Nonparametric Risk Management and Implied Risk Aversion292 cited
  • 1995Option Pricing and the Martingale Restriction242 cited
  • 1999The Dutch Triangle199 cited
  • 1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS157 cited
  • 2004Accounting for Biases in Black-Scholes156 cited
  • 1994Mean/Variance Analysis of Currency Overlays123 cited

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