Computing optimal multi-currency mean-variance portfolios

Article Abstract:

The general quadratic mean-variance optimization problem is presented in an extended form to provide a viable solution. Incorporated into the model are the uncertainties associated with exchange rates and returns. Multiple currencies are used. The results from using the model show the possibility of a simple but highly useful solution which could be the basis for its use in financial analysis.

Portfolio management

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Simulation and optimization approaches to scenario tree generation

Article Abstract:

Simulation, optimization and hybrid simulation/optimization are the three approaches that are investigated for generating price scenarios for portfolio optimization. These procedures are tested and their performances are back tested using historical data.

United States, Stochastic programming

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Robust min-max portfolio strategies for rival forecast and risk scenarios

Article Abstract:

An extension of the Markowitz mean-variance optimization method is applied to multiple return and risk scenarios.

Research and Development in the Physical, Engineering, and Life Sciences, Statistics, Methods, Usage, Risk management, Statistics (Mathematics), Robust statistics, Robustness (Statistics)

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