CVaR Models with Selective Hedging for International Asset Allocation ∗

@inproceedings{Topaloglou2002CVaRMW,
  title={CVaR Models with Selective Hedging for International Asset Allocation ∗},
  author={Nikolas Topaloglou and Hercules Vladimirou and Stavros A. Zenios},
  year={2002}
}
We develop an integrated simulation and optimization framework for multicurrency asset allocation problems. The simulation applies principal component analysis to generate scenarios depicting the discrete joint distributions of uncertain asset returns and exchange rates. We then develop and implement models that optimize the conditional-value-at-risk (CVaR) metric. The scenario-based optimization models encompass alternative hedging strategies, including selective hedging that incorporates… CONTINUE READING

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