Computing optimal multi-currency mean-variance portfolios

DOI10.1016/0165-1889(94)00812-VMaRDI QIDQ673679zbMATH OpenFDO

Authors Berç Rustem

Publication date 28 February 1997

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

zbMATH Keywords

Portfolio optimizationCurrency riskInternational diversificationQuadratic mean-variance analysis

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3793774 (Why is no real title available?)
• An approach to nonlinear programming
• The matrix minimum principle

Cited in

(8)

• Computing currency invariant indices with an application to minimum variance currency baskets
• In search of robust methods for multi-currency portfolio construction by value at risk
• 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
• A general framework for predicting returns from multiple currency investments
• Robust hedging strategies
• Optimal currency portfolio with implied return distribution in the mean-variance approach

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