Stochastic receding horizon control for short-term risk management in foreign exchange
Year of publication: |
June 2016
|
---|---|
Authors: | Noorian, Farzad ; Flower, Barry G. ; Leong, Philip H. W. |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2016, 5, p. 29-62
|
Subject: | foreign exchange (FX) hedging | short-term risk management | stochastic models | receding horizon control | scenario generation | Risikomanagement | Risk management | Hedging | Stochastischer Prozess | Stochastic process | Theorie | Theory | Währungsmanagement | Foreign exchange management | Portfolio-Management | Portfolio selection |
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