CVaR models with selective hedging for international asset allocation

Journal of Banking and Finance

Volumn 26, Issue 7, 2002, Pages 1535-1561

  Topaloglou, Nikolas ^a   Vladimirou, Hercules ^a   Zenios, Stavros A ^a  

^a UNIVERSITY OF CYPRUS   (Cyprus)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036074635     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00289-3     Document Type: Article

References (23)

1. The role of currency derivatives in internationally diversified portfolios
2. Credit risk optimization with conditional value-at-risk criterion
3. Coherent measures of risk
4. Scenario modeling of selective hedging strategies
5. Equilibrium exchange rate hedging
6. Exchange rate uncertainty, forward contracts and international portfolio selection
7. Is complete hedging optimal for international bond portfolios?
8. Currency hedging for international portfolios
9. The tail that wags the dog: Integrating credit risk in asset portfolios
10. Principal Component Analysis
11. International portfolio diversification with estimation risk
12. Bayes-Stein estimation for portfolio analysis
13. Asset allocation with hedged and unhedged foreign stocks and bonds
14. Mean-absolute deviation portfolio optimization for mortgage-backed securities
15. Mean absolute deviation portfolio optimization model and its application to Tokyo stock market
16. Stochastic programming models for asset-liability management
17. The free lunch in currency hedging: Implications for investment policy and performance standards
18. Some remarks on the value-at-risk and the conditional value-at-risk
19. Optimization of conditional value-at-risk
20. Conditional value-at-risk for general distributions
21. Global asset management
22. Stochastic programming models for managing international investment portfolios