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A dynamic stochastic programming model for international portfolio management
16 references·5 citing·30 second hop
A dynamic stochastic programming model for international portfolio management (2006)A dynamic stochastic programming model fo…Applications of Stochastic Programming (2005)Applications of Stochastic Pr…Scenario reduction in stochastic programming (2003)Scenario reduction in stochas…Scenario Reduction Algorithms in Stochastic Programming (2003)Scenario Reduction Algorithms…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…Generating Scenario Trees for Multistage Decision Problems (2001)Generating Scenario Trees for…Scenarios for Multistage Stochastic Programs (2000)Scenarios for Multistage Stoc…Scenario reduction in stochastic programming: An approach using probability metrics (2000)Scenario reduction in stochas…Coherent Measures of Risk (1999)Coherent Measures of RiskWorldwide asset and liability modeling (1998)Worldwide asset and liability…The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming (1994)The Russell-Yasuda Kasai Mode…Downside risk (1991)Downside riskExchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection (1988)Exchange Rate Uncertainty, Fo…Why Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…International Diversification of Investment Portfolios (1970)International Diversification…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Fifty years of portfolio optimization (2023)Fifty years of portfolio opti…Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks (2021)Multi-period portfolio optimi…MULTI-PERIOD DECISION MAKING WITH ONE-SHOT DECISION THEORY (2012)MULTI-PERIOD DECISION MAKING …Stability analysis of portfolio management with conditional value-at-risk (2007)Stability analysis of portfol…Handling CVaR objectives and constraints in two-stage stochastic models (2007)Handling CVaR objectives and …Liquidity Preference as Behavior Towards Risk (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)International comovement of stock market returns: A wavelet analysis (2009)Portfolio Selection: Efficient Diversification of Investments (1959)Does industrial structure explain the benefits of international diversification? (1994)Exceptional Paper—Probability Encoding in Decision Analysis (1975)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)A framework for sensitivity analysis of decision trees (2017)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)Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement (2020)PORTFOLIO SELECTION* (1952)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)Evaluation of scenario-generation methods for stochastic programming (2003)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)Frameworks and Results in Distributionally Robust Optimization (2022)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Scenario tree modeling for multistage stochastic programs (2007)Marrying supply chain sustainability and resilience: A match made in heaven (2016)A unified framework for stochastic optimization (2018)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 2003Scenario reduction in stochastic programming1,045 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 2003Scenario Reduction Algorithms in Stochastic Programming983 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 2001Generating Scenario Trees for Multistage Decision Problems674 cited
  • 1991Downside risk604 cited
  • 2000Scenario reduction in stochastic programming: An approach using probability metrics512 cited
  • 2000Scenarios for Multistage Stochastic Programs471 cited
  • 2003A Heuristic for Moment-Matching Scenario Generation404 cited
  • 1998Worldwide asset and liability modeling370 cited
  • 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming362 cited
  • 1988Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection360 cited

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2005
Applications of Stochastic Programming
355 cited

Cited by

  • 2007Handling CVaR objectives and constraints in two-stage stochastic models98 cited
  • 2021Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks81 cited
  • 2007Stability analysis of portfolio management with conditional value-at-risk80 cited
  • 2023Fifty years of portfolio optimization51 cited
  • 2012MULTI-PERIOD DECISION MAKING WITH ONE-SHOT DECISION THEORY0 cited