CVaR models with selective hedging for international asset allocation
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-278, July.
- Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
- Glen, Jack & Jorion, Philippe, 1993. "Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-1886, December.
- Black, Fischer, 1990. "Equilibrium Exchange Rate Hedging," Journal of Finance, American Finance Association, vol. 45(3), pages 899-907, July.
- Peter A. Abken & Milind M. Shrikhande, 1997. "The role of currency derivatives in internationally diversified portfolios," Economic Review, Federal Reserve Bank of Atlanta, vol. 82(Q 3), pages 34-59.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- Norbert Jobst & Stavros A. Zenios, 2001. "The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios," Center for Financial Institutions Working Papers 01-24, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Eun, Cheol S & Resnick, Bruce G, 1988. " Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection," Journal of Finance, American Finance Association, vol. 43(1), pages 197-215, March.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.
- Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
- Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "A dynamic stochastic programming model for international portfolio management," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1501-1524, March.
- Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
- Beltratti, Andrea & Laurant, Andrea & Zenios, Stavros A., 2004. "Scenario modelling for selective hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 955-974, February.
- Bugar, Gyöngyi & Maurer, Raimond, 2001. "International equity portfolios and currency hedging : the viewpoint of German and Hungarian investors," Papers 01-10, Sonderforschungsbreich 504.
- Luis Berggrun, 2005. "Currency Hedging for a Dutch Investor: The Case of Pension Funds and Insurers," DNB Working Papers 054, Netherlands Central Bank, Research Department.
- Susan Thorp, 2005. "‘That Courage is not Inconsistent with Caution’: Currency Hedging for Superannuation Funds," The Economic Record, The Economic Society of Australia, vol. 81(252), pages 38-50, March.
- Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
- Dangl, Thomas & Randl, Otto & Zechner, Josef, 2016. "Risk control in asset management: Motives and concepts," CFS Working Paper Series 546, Center for Financial Studies (CFS).
- Lagos, Guido & Espinoza, Daniel & Moreno, Eduardo & Vielma, Juan Pablo, 2015. "Restricted risk measures and robust optimization," European Journal of Operational Research, Elsevier, vol. 241(3), pages 771-782.
- Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society.
- Jun-ya Gotoh & Akiko Takeda & Rei Yamamoto, 2014. "Interaction between financial risk measures and machine learning methods," Computational Management Science, Springer, vol. 11(4), pages 365-402, October.
- Pedro Barroso & Jurij-Andrei Reichenecker & Marco J. Menichetti, 2022. "Hedging with an Edge: Parametric Currency Overlay," Management Science, INFORMS, vol. 68(1), pages 669-689, January.
- Philippe Delquié, 2012. "Risk Measures from Risk-Reducing Experiments," Decision Analysis, INFORMS, vol. 9(2), pages 96-102, June.
- Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
- Luan, Fei & Zhang, Weiguo & Liu, Yongjun, 2022. "Robust international portfolio optimization with worst‐case mean‐CVaR," European Journal of Operational Research, Elsevier, vol. 303(2), pages 877-890.
- Daniel Espinoza & Eduardo Moreno, 2014. "A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs," Computational Optimization and Applications, Springer, vol. 59(3), pages 617-638, December.
- Jun-ya Gotoh & Akiko Takeda, 2011. "On the role of norm constraints in portfolio selection," Computational Management Science, Springer, vol. 8(4), pages 323-353, November.
- Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2008. "Does hedging tell the full story? Reconciling differences in US aggregate and industry-level exchange rate risk premia," Bank of Finland Research Discussion Papers 14/2008, Bank of Finland.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1535-1561. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.