International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints
(2017)
Journal Article
Chatsanga, N., & Parkes, A. J. (2017). International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints. Expert Systems with Applications, 83, 333-349. https://doi.org/10.1016/j.eswa.2017.04.009
International financial portfolios can be exposed to substantial risk from variations of the exchange rates between the countries in which they hold investments. Nonetheless, foreign exchange can both generate extra return as well as loss to a portfo... Read More about International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints.