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Foreign Exchange Management
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accounting equation arbitrage assumption cash balance cash flow distribution cash inflow cash management problem cash outflow company's foreign exchange computational constraints covariance matrix decision problems dynamic aspects E(rp efficient frontier end of period equations estimates exchange management problem exchange rates expected return expected utility expected value financial management problems forecasts foreign currency foreign exchange management foreign exchange portfolio foreign exchange risk forward rate future spot rate geometric mean hedging costs incidence matrix input investors large number limits linear programming loan LP models management and foreign marketable securities mathematical programming maximizing Minimize f(x multi-period model Mulvey and Vladimirou[42 MV analysis MV approach network formulation network structure nonlinear number of assets objective function planning horizon planning period portfolio problem portfolio selection programming models quadratic quadratic programming scenario subproblems single-period models Soenen solution solving stochastic dominance stochastic models stochastic network stochastic program thesis transaction costs uncertainty utility function variance wealth xTQx