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CVaR models with selective hedging for international asset allocation

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  • Topaloglou, Nikolas
  • Vladimirou, Hercules
  • Zenios, Stavros A.

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  • Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2002. "CVaR models with selective hedging for international asset allocation," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1535-1561, July.
    • Handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1535-1561
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    References listed on IDEAS

    as
    1. 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.
    2. Norbert J. Jobst & Stavros A. Zenios, 2001. "The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 3(1), pages 31-43, April.
    3. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-278, July.
    4. 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.
    5. Glen, Jack & Jorion, Philippe, 1993. "Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-1886, December.
    6. Black, Fischer, 1990. "Equilibrium Exchange Rate Hedging," Journal of Finance, American Finance Association, vol. 45(3), pages 899-907, July.
    7. 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.
    8. repec:bla:jfinan:v:43:y:1988:i:1:p:197-215 is not listed on IDEAS
    9. 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.
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