Optimize international portfolio via stochastic programming
We propose a two-stage stochastic programming method for dynamic international portfolio management in a holistic view aiming at attaining an effective balance between portfolios currency risk exposure and its realized expected return. By modeling the uncertainty with a scenario tree that reflects the historical distribution as well as related information, and elaborating an integrated optimization framework for asset allocation and currency risk hedging, state-contingent rebalancing decisions including capital allocation, asset selection, and appropriate currency hedging levels can be considered dynamically and automatically. According to extensive empirical analysis, our approach not only provides an effective decision tool for international asset allocation but also pay attention to incremental advantages arising from the jointly realization of currency forward contracts. We also illustrate potential benefits stemming from unrestricted application of currency forward contracts for speculative trading.
Libo Yin Liyan Han
School of Economics & Management Beihang University Beijing, China
国际会议
International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)
武汉
英文
1-6
2011-08-12（万方平台首次上网日期，不代表论文的发表时间）