CVaR Models with Selective Hedging for International Asset Allocation ∗

  title={CVaR Models with Selective Hedging for International Asset Allocation ∗},
  author={Nikolas Topaloglou and Hercules Vladimirou and Stavros A. Zenios},
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


Publications citing this paper.
Showing 1-10 of 35 extracted citations

Optimal Static Hedging of Uncertain Future Foreign Currency Cash Flows Using FX Forwards

2016 International Conference on Industrial Engineering, Management Science and Application (ICIMSA) • 2016


Publications referenced by this paper.
Showing 1-10 of 22 references

Some remarks on the value-at-risk and the conditional value-at-risk

G. Pflug
View 4 Excerpts
Highly Influenced

Stochastic programming models for managing international investment portfolios. Working Paper 02-02, ‘‘Hermes’

N. Topaloglou, H. Vladimirou, S. A. Zenios
European Center of Excellence on Computational Finance and Economics, School of Economics and Management, • 2002
View 2 Excerpts

Global asset management

B. Solnik
Journal of Portfolio Management (Summer), • 1998
View 1 Excerpt

Shrikhande . The role of currency derivatives in internationally diversified portfolios

P. A. Abken, M. M.

Similar Papers

Loading similar papers…