Integrated dynamic models for hedging international portfolio risks
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Summary
Test results show that two-stage models outperform their single-stage counterparts, regardless of the hedging strategy, and simultaneous hedging of market and FX risks using stock and currency options has the best ex post performance.
- Type
- article
- Published
- 2020-08-01
- Cited by
- 13
- References
- 74
- OpenAlex
- https://openalex.org/W2909082422
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:128018547
Keywords
Hedge, Portfolio, Diversification (marketing strategy), Risk management, Currency
References
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- The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies
- Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
- APPROXIMATE OPTION VALUATION FOR ARBITRARY STOCHASTIC PROCESSES
- Pricing and Hedging International Equity Derivatives
- Spanning and Completeness in Markets with Contingent Claims
- Option and Futures Evaluation With Deterministic Volatilities
- Options and Efficiency
- Series Approximation Methods in Statistics
- Stability analysis of portfolio management with conditional value-at-risk
- The Returns and Risk of Alternative Call Option Portfolio Investment Strategies
- International equity investment with selective hedging strategies
- Conditional value-at-risk in portfolio optimization: Coherent but fragile
Cited by
- Stock Market Temporal Complex Networks Construction, Robustness Analysis, and Systematic Risk Identification: A Case of CSI 300 Index
- Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19
- A stochastic programming model for dynamic portfolio management with financial derivatives
- Robust international portfolio optimization with worst-case mean-CVaR
- Two-stage international portfolio models with higher moment risk measures
- An evolutionary game theory approach for analyzing risk-based financing schemes
- Does green improve portfolio optimisation?
- An Efficient Scenario Reduction Method for Problems with Higher Moment Coherent Risk Measures
- Solving constrained consumption-investment problems by decomposition algorithms
- Hedging political risk in international portfolios
- Index-Mixed Optimal Portfolio Selection Under Borrowing Restrictions
- International portfolio optimization with chance constraints
- Index-mixed optimal portfolio selection under borrowing restrictions
- Robust international portfolio optimization with worst‐case mean‐CVaR
- A robust optimization framework for the enhanced index tracking problem
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