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A dynamic stochastic programming model for international portfolio management · Study

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ArticleA dynamic stochastic programming model for international portfolio management

Nikolas Topaloglou2006

Article2006

A dynamic stochastic programming model for international portfolio management

Nikolas Topaloglou · Hercules Vladimirou · Stavros A. Zenios

111 citations·0/0 files stored·European Journal of Operational Research

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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 2002Conditional value-at-risk for general loss distributions 1970International Diversification of Investment Portfolios 2003Scenario reduction in stochastic programming 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows 2003Scenario Reduction Algorithms in Stochastic Programming 1974Why Not Diversify Internationally Rather Than Domestically?2001Generating Scenario Trees for Multistage Decision Problems

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2007Handling CVaR objectives and constraints in two-stage stochastic models 2021Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks 2007Stability analysis of portfolio management with conditional value-at-risk 2023Fifty years of portfolio optimization

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Year2006

Typearticle

Published2006-10-19

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations111

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2005.07.035

openalex_workW2088374530

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