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Title :International Portfolio Management with Options Using CVaR Model
Creator :Papavassileiou, Ellie
Contributor :Topaloglou, Nikolaos (Επιβλέπων καθηγητής)
Athens University of Economics and Business, Department of International and European Economic Studies (Degree granting institution)
Type :Text
Extent :68p.
Language :en
Abstract :This thesis develops an optimization framework for multicurrency asset allocation problems using as risk measure the Conditional Value-at-Risk (CVaR). The aim is to create an optimal internationally diversified portfolio, as well as to mitigate the exposure to risks. More precisely, we focus only on the control of the market risk by incorporating European put options in the portfolio optimization model. In this survey two different models are presented. The first one is a simple model of international portfolio management. The second one is the first model augmented with options in order to hedge the market risk. By including put options in the portfolio optimization model we observe, after extensive computational experiments, that there is better performance than in the simple model.
Subject :Portfolio management
Conditional Value-at-Risk (CvaR)
Date :31-01-2015
Licence :

File: Papavassileiou_2015.pdf

Type: application/pdf