NDLI: Optimize International Portfolio via Stochastic Programming

Content Provider	IEEE Xplore Digital Library
Author	Libo Yin Liyan Han
Copyright Year	2011
Abstract	We propose a two-stage stochastic programming method for dynamic international portfolio management in a holistic view aiming at attaining an effective balance between portfolio's currency risk exposure and its realized expected return. By modeling the uncertainty with a scenario tree that reflects the historical distribution as well as related information, and elaborating an integrated optimization framework for asset allocation and currency risk hedging, state-contingent rebalancing decisions including capital allocation, asset selection, and appropriate currency hedging levels can be considered dynamically and automatically. According to extensive empirical analysis, our approach not only provides an effective decision tool for international asset allocation but also pay attention to incremental advantages arising from the jointly realization of currency forward contracts. We also illustrate potential benefits stemming from unrestricted application of currency forward contracts for speculative trading.
Starting Page	1
Ending Page	6
File Size	278523
Page Count	6
File Format	PDF
ISBN	9781424465798
e-ISBN	9781424465811
DOI	10.1109/ICMSS.2011.5998348
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2011-08-12
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Integrated circuits Exchange rates Stochastic processes Programming Planning Resource management Portfolios
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
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9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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