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https://doi.org/10.2139/ssrn.3142823

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Measuring Contagion: Conceptual and Empirical Issues
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Series Approximation Methods in Statistics
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Integrated simulation and optimization models for tracking international fixed income indices
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Spanning and completeness in markets with contingent claims
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Asymmetric volatility transmission in international stock markets
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Approximate option valuation for arbitrary stochastic processes
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Stochastic programming
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Handbook of Asset and Liability Management
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A dynamic stochastic programming model for international portfolio management
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Asset allocation with correlation: A composite trade-off
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Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
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Optimal currency hedging
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Pricing options on scenario trees
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Optimizing international portfolios with options and forwards
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What matters for financial development? Capital controls, institutions, and interactions
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Conditional value-at-risk in portfolio optimization: Coherent but fragile
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Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990–1999
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Scenario modelling for selective hedging strategies
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Exchange rate exposure, hedging, and the use of foreign currency derivatives
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Spanning and derivative-security valuation
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Strategic financial risk management and operations research
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Conditional value-at-risk for general loss distributions
inferredcites →https://doi.org/10.1016/s1042-4431(97)00009-7openalex-extracted
International equity investment with selective hedging strategies
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It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification
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A Stochastic Programming Model for Currency Option Hedging
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A Heuristic for Moment-Matching Scenario Generation
inferredcites →https://doi.org/10.1080/14697680701483222openalex-extracted
Stability analysis of portfolio management with conditional value-at-risk
inferredcites →https://doi.org/10.1080/14697688.2012.738930openalex-extracted
Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
inferredcites →https://doi.org/10.1080/14697688.2015.1114359openalex-extracted
A parsimonious model for generating arbitrage-free scenario trees
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The Returns and Risk of Alternative Call Option Portfolio Investment Strategies
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The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies
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Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns
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Tracking bond indices in an integrated market and credit risk environment
inferredcites →https://doi.org/10.1093/rfs/9.1.163openalex-extracted
Information, Trade, and Derivative Securities: Table 1
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Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
inferredcites →https://doi.org/10.1093/wber/9.1.19openalex-extracted
The Risk Exposure of Emerging Equity Markets
inferredcites →https://doi.org/10.1108/03074350710776235openalex-extracted
Hedging the exchange rate risk in international portfolio diversification
inferredcites →https://doi.org/10.1111/1467-9965.00068openalex-extracted
Coherent Measures of Risk
inferredcites →https://doi.org/10.1111/1468-5957.00320openalex-extracted
Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence
inferredcites →https://doi.org/10.1111/1475-6803.t01-1-00008openalex-extracted
Skewness and Kurtosis Implied by Option Prices: A Correction
inferredcites →https://doi.org/10.1111/j.1467-9965.1993.tb00084.xopenalex-extracted
Option and Futures Evaluation With Deterministic Volatilities1
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SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES
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Currency Hedging for International Portfolios
inferredcites →https://doi.org/10.1111/jofi.12203openalex-extracted
The Global Crisis and Equity Market Contagion
inferredcites →https://doi.org/10.1287/mnsc.47.2.295.9834openalex-extracted
Generating Scenario Trees for Multistage Decision Problems
inferredcites →https://doi.org/10.1287/moor.1120.0577openalex-extracted
External Risk Measures and Basel Accords
inferredcites →https://doi.org/10.21314/jor.2000.038openalex-extracted
Optimization of conditional value-at-risk
inferredcites →https://doi.org/10.21314/jor.2002.057openalex-extracted
Portfolio optimization with conditional value-at-risk objective and constraints
inferredcites →https://doi.org/10.21314/jor.2014.289openalex-extracted
A test for the equality of multiple Sharpe ratios
inferredcites →https://doi.org/10.2139/ssrn.2462843openalex-extracted
The International CAPM Redux
inferredcites →https://doi.org/10.2139/ssrn.267256openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.585623openalex-extracted
Accounting for Biases in Black-Scholes
inferredcites →https://doi.org/10.2139/ssrn.677506openalex-extracted
What Matters for Financial Development? Capital Controls, Institutions, and Interactions
inferredcites →https://doi.org/10.2139/ssrn.956918openalex-extracted
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
inferredcites →https://doi.org/10.2139/ssrn.960520openalex-extracted
Collective Risk Management in a Flight to Quality Episode
inferredcites →https://doi.org/10.2307/1886087openalex-extracted
Options and Efficiency
inferredcites →https://doi.org/10.2307/2291547openalex-extracted
Continuous Univariate Distributions.
inferredcites →https://doi.org/10.2307/2554570openalex-extracted
Currency Options and the Optimal Hedging of Contingent Foreign Exchange Exposure
inferredcites →https://doi.org/10.2307/2979015openalex-extracted
Spanning the State Space with Options
inferredcites →https://doi.org/10.2469/faj.v48.n4.37openalex-extracted
Is Complete Hedging Optimal for International Bond Portfolios?
inferredcites →https://doi.org/10.2469/faj.v51.n3.1900openalex-extracted
The Currency Hedging Decision: A Search for Synthesis in Asset Allocation
inferredcites →https://doi.org/10.2469/faj.v52.n5.2021openalex-extracted
International Market Correlation and Volatility
inferredcites →https://doi.org/10.3386/w13811openalex-extracted
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
inferredcites →https://doi.org/10.3386/w9510openalex-extracted
Market Integration and Contagion
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Pricing and Hedging International Equity Derivatives
inferredcites →https://doi.org/10.3905/jpm.1994.409501openalex-extracted
The Sharpe Ratio
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The Symmetric Downside-Risk Sharpe Ratio
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Financial Globalization and Exchange Rates
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