| Περίληψη : | The present dissertation aims to examine and analyze some important issues relating to the international portfolio management, focusing on portfolio optimization techniques. The theoretical framework of this study is focused on a detailed presentation of the importance of risk in portfolio management, due to the uncertainty of the trust and solvency of individual’s actions. In portfolio management, there are numerous risk types, the most important of which are market risk, liquidity risk, credit risk and operational risk. As for the risk measurement, the most important models used here are: Conditional Value-at-Risk (CVaR), which is a special version of Value-at-Risk (VaR), Mean Absolute Deviation (MAD) and Put-Call efficient frontier. Finally, the theoretical discussion of this study closes with a brief presentation of theory of derivatives and hedging strategies. The empirical framework of this study focuses on the portfolio optimization in the case of Athens Stock Exchange based on 16 companies listed on FTSE 20 index. Applying the optimization techniques as mentioned in the previous paragraph in the period 31/01/2013 - 30/09/2014, portfolio returns of each model were calculated as well as FTSE 20 return. The analysis concluded that the Put-Call portfolio optimization model, is the most efficient from the three compared.
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