Internationally Diversified Investment Using an Integrated Portfolio Model

DOI10.1142/S0219024998000072MaRDI QIDQ4216103zbMATH OpenFDO

Authors Hiroshi Konno, Jing Li

Publication date 22 November 1998

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024998000072

zbMATH Keywords

portfolio

Mathematics Subject Classification ID

Recommendations

• Applications of the integrated approach to international portfolio optimization
• An integrated stock-bond portfolio optimization model
• An international portfolio optimization model hedged with forward currency contracts
• Integrated dynamic models for hedging international portfolio risks
• Robust hedging strategies

Cites work

• A theory of the term structure of interest rates
• An interior point algorithm for large scale portfolio optimization
• Capturing the Correlations of Fixed-income Instruments
• Mean-absolute deviation portfolio optimization for mortgage-backed securities
• Pricing interest-rate-derivative securities

Cited in

(7)

• An international portfolio optimization model hedged with forward currency contracts
• Applications of the integrated approach to international portfolio optimization
• scientific article; zbMATH DE number 2130849 (Why is no real title available?)
• Studies on a general stock-bond integrated portfolio optimization model
• A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS
• Integrated dynamic models for hedging international portfolio risks
• Should Americans invest internationally? Mean-variance portfolios optimization and stochastic dominance approaches

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