CVaR models with selective hedging for international asset allocation

We develop an integrated simulation and optimization framework for multicurrency asset allocation problems. The simulation applies principal component analysis to generate scenarios depicting the discrete joint distributions of uncertain asset returns and exchange rates. We then develop and implemen...

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Bibliographic Details
Published in:	Journal of banking & finance Vol. 26; no. 7; pp. 1535 - 1561
Main Authors:	Topaloglou, Nikolas, Vladimirou, Hercules, Zenios, Stavros A.
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.07.2002 Elsevier Elsevier Sequoia S.A
Series:	Journal of Banking & Finance
Subjects:	Allocation Asset allocation Assets Currency hedging Diversification Financial economics Foreign exchange rates Hedges Hedging International asset allocation International finance Investment Investment returns Mathematical models Measurement Optimization Portfolio selection Portfolios Principal components analysis Risk Risk assessment Risk management Simulation Statistical methods Stochastic programming models Studies C44 Currency hedging G34 Stochastic programming models International asset allocation D81 Risk management C61
ISSN:	0378-4266, 1872-6372
Online Access:	Get full text
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