.png){kind=icon}
返回
.png){kind=icon}
.png){kind=icon}
摘要
En 中文
While investing in foreign assets may bring additional benefits in terms of risk diversification, it may also expose the portfolio to a further source of risk derived from changes in the value of the foreign currencies. Hedging strategies for international portfolios have usually focused on the use of forward contracts to mitigate the currency risk. We propose an alternative formulation aimed at the reduction of the overall portfolio risk by assuming the returns are uncertain and maximizing the portfolio return for the worst possible outcome of the returns. This technique known as robust optimization provides a first guarantee on the portfolio value thanks to the non-inferiority property. We further complement our approach with forward contracts on the foreign exchange rates and options on the assets. Because the total return on any asset will be the product of its local return and currency return, the models proposed are bilinear and non convex. A reformulation of both the uncertainty set and the objective function as a semidefinite problem will yield an approximate tractable model. We compare the hedging alternatives proposed with simulated and historical market data and conclude on their relative benefits. (C) 2012 Elsevier Ltd. All rights reserved.
Keyword:
Robust optimization
International portfolio optimization
Hedging
Forward contracts
Options
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
C
IF:
4.3
论文数:
6.5K
被引数:
1.8W
机构
引用论文
Understanding the Effect of Side Reactions on the Recyclability of Furan–Maleimide Resins Based on Thermoreversible Diels–Alder Network.png)
Polymers.png)
OAAI
PolymersIF0
OAAI.png){kind=icon}
分享.png){kind=icon}
收藏Incidence of Hepatitis C Infection among Prisoners by Routine Laboratory Values during a 20-Year PeriodPLoS ONEOAAI
PLoS ONEIF0
OAAI分享收藏分享收藏分享收藏Unraveling the Degradation Mechanism of Purine Nucleotides Photosensitized by Pterins: The Role of Charge‐Transfer StepsChemPhysChemOAAI
ChemPhysChemIF0
OAAI分享收藏分享收藏
查看更多内容