Computing optimal multi-currency mean-variance portfolios

DOI10.1016/0165-1889(94)00812-VzbMATH Open0900.90035MaRDI QIDQ673679FDOQ673679

Authors: Berç Rustem 

Publication date: 28 February 1997

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

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zbMATH Keywords

Portfolio optimizationCurrency riskInternational diversificationQuadratic mean-variance analysis

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• An approach to nonlinear programming
• The matrix minimum principle

Cited In (8)

• Computing currency invariant indices with an application to minimum variance currency baskets
• Optimal currency portfolio with implied return distribution in the mean-variance approach
• In search of robust methods for multi-currency portfolio construction by value at risk
• A general framework for predicting returns from multiple currency investments
• Robust hedging strategies
• The diversification of currency loans: A comparison between safety-first and mean-variance criteria
• A stable aggregate currency revisited: highlighting some fundamental issues
• Robust international portfolio management

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