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ArticleCVaR models with selective hedging for international asset allocation

Nikolas Topaloglou2002

Article2002

CVaR models with selective hedging for international asset allocation

Nikolas Topaloglou · Hercules Vladimirou · Stavros A. Zenios

113 citations·0/0 files stored·Journal of Banking & Finance

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1986Bayes-Stein Estimation for Portfolio Analysis 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk 1985International Portfolio Diversification with Estimation Risk 1988Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection

Cited by

2006A dynamic stochastic programming model for international portfolio management 2012Asset Allocation with Conditional Value-at-Risk Budgets 2007Stability analysis of portfolio management with conditional value-at-risk 2021How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature 2008Stochastic programming models for asset liability management 2005A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming

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Year2002

Typearticle

Published2002-07-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations113

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/s0378-4266(02)00289-3

openalex_workW2013312564

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