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CVaR models with selective hedging for international asset allocation
14 references·15 citing·38 second hop
CVaR models with selective hedging for international asset allocation (2002)CVaR models with selective hedging for in…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk optimization with…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Probabilistic constrained optimization : methodology and applications (2000)Probabilistic constrained opt…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskCurrency Hedging for International Portfolios (1993)Currency Hedging for Internat…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Equilibrium Exchange Rate Hedging (1990)Equilibrium Exchange Rate Hed…Asset allocation with hedged and unhedged foreign stocks and bonds (1989)Asset allocation with hedged …The Free Lunch in Currency Hedging: Implications for Investment Policy and Peformance Standards (1988)The Free Lunch in Currency He…Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection (1988)Exchange Rate Uncertainty, Fo…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…International Portfolio Diversification with Estimation Risk (1985)International Portfolio Diver…How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature (2021)How Many Stocks Are Sufficien…On the investment credentials of Bitcoin: A cross-currency perspective (2019)On the investment credentials…Long-term U.S. infrastructure returns and portfolio selection (2014)Long-term U.S. infrastructure…Asset Allocation with Conditional Value-at-Risk Budgets (2012)Asset Allocation with Conditi…Optimizing international portfolios with options and forwards (2011)Optimizing international port…An ALM model for pension funds using integrated chance constraints (2009)An ALM model for pension fund…Stochastic programming models for asset liability management (2008)Stochastic programming models…Measuring the coupled risks: A copula-based CVaR model (2008)Measuring the coupled risks: …An integrated CVaR and real options approach to investments in the energy sector (2008)An integrated CVaR and real o…Stability analysis of portfolio management with conditional value-at-risk (2007)Stability analysis of portfol…Functional guarantees: a new service paradigm (2007)Functional guarantees: a new …A dynamic stochastic programming model for international portfolio management (2006)A dynamic stochastic programm…Treasury Management Model with Foreign Exchange Exposure (2005)Treasury Management Model wit…A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming (2005)A stochastic linear goal prog…Progress in Risk Measurement 1 (2004)Progress in Risk Measurement 1Portfolio Selection: Efficient Diversification of Investments. (1962)International Diversification of Investment Portfolios (1970)On estimating the expected return on the market (1980)Portfolio Selection and Asset Pricing Models (2000)Stock return predictability and model uncertainty (2002)60 Years of portfolio optimization: Practical challenges and current trends (2013)Stochastic Programming (1995)Probabilistic Programming (2003)Conditional value at risk and related linear programming models for portfolio optimization (2006)Twenty years of linear programming based portfolio optimization (2013)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. 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New evidence from international ESG data (2015)PORTFOLIO SELECTION* (1952)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)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Generalized deviations in risk analysis (2005)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 1985International Portfolio Diversification with Estimation Risk672 cited
  • 1988Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection360 cited
  • 1993Currency Hedging for International Portfolios316 cited
  • 2001Credit risk optimization with Conditional Value-at-Risk criterion295 cited
  • 2000Probabilistic constrained optimization : methodology and applications257 cited
  • 1988The Free Lunch in Currency Hedging: Implications for Investment Policy and Peformance Standards231 cited
  • 1990Equilibrium Exchange Rate Hedging160 cited
  • 1989Asset allocation with hedged and unhedged foreign stocks and bonds107 cited

Cited by

  • 2006A dynamic stochastic programming model for international portfolio management

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111 cited
  • 2012Asset Allocation with Conditional Value-at-Risk Budgets92 cited
  • 2007Stability analysis of portfolio management with conditional value-at-risk80 cited
  • 2021How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature78 cited
  • 2008Stochastic programming models for asset liability management69 cited
  • 2005A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming58 cited
  • 2008An integrated CVaR and real options approach to investments in the energy sector45 cited
  • 2009An ALM model for pension funds using integrated chance constraints43 cited
  • 2019On the investment credentials of Bitcoin: A cross-currency perspective42 cited
  • 2011Optimizing international portfolios with options and forwards41 cited
  • 2008Measuring the coupled risks: A copula-based CVaR model37 cited
  • 2004Progress in Risk Measurement 134 cited
  • 2014Long-term U.S. infrastructure returns and portfolio selection31 cited
  • 2005Treasury Management Model with Foreign Exchange Exposure27 cited
  • 2007Functional guarantees: a new service paradigm9 cited