Robust Optimization of Currency Portfolios
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References listed on IDEAS
- Levy, Haim & Sarnat, Marshall, 1978. "Exchange Rate Risk and the Optimal Diversification of Foreign Currency Holdings," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 10(4), pages 453-463, November.
- Glen A. Larsen, Jr. & Bruce G. Resnick, 2000. "The Optimal Construction of Internationally Diversified Equity Portfolios Hedged Against Exchange Rate Uncertainty," European Financial Management, European Financial Management Association, vol. 6(4), pages 479-514.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Raquel Fonseca & Wolfram Wiesemann & Berç Rustem, 2012. "Robust international portfolio management," Computational Management Science, Springer, vol. 9(1), pages 31-62, February.
- Nonthachote Chatsanga & Andrew J. Parkes, 2016. "International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints," Papers 1611.01463, arXiv.org.
More about this item
Keywordsrobust optimization; portfolio optimization; currency hedging; second-order cone programming;
NEP fieldsThis paper has been announced in the following NEP Reports:
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