Computing optimal multi-currency mean-variance portfolios

DOI10.1016/0165-1889(94)00812-VzbMath0900.90035MaRDI QIDQ673679

Berc Rustem

Publication date: 28 February 1997

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

zbMATH Keywords

Portfolio optimizationCurrency riskInternational diversificationQuadratic mean-variance analysis

Mathematics Subject Classification ID

Related Items (4)

Robust international portfolio management ⋮ A general framework for predicting returns from multiple currency investments ⋮ Computing currency invariant indices with an application to minimum variance currency baskets ⋮ Robust hedging strategies

Cites Work

• Unnamed Item
• An approach to nonlinear programming
• The matrix minimum principle

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