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| Author: | Topaloglou, N. Vladimirou, H. Zenios, S. A. |
| Title: | CVaR models with selective hedging for international asset allocation |
| Journal: | Journal of Banking and Finance
2002 : JUL, VOL. 26:7, p. 1535-1561 |
| Index terms: | Stochastic programming Risk management |
| Freeterms: | International asset allocation Currency hedging |
| Language: | eng |
| Abstract: | The authors 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. The selective hedging model determines jointly the portfolio composition and the level of currency hedging for each market via forward exchanges. The authors also investigate the ex post performance of the models on international portfolios of stock and bond indices using historical market data. |
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