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  • 1
    Electronic Resource
    Electronic Resource
    Optimal portfolios with asymptotic criteria (1993)
    Springer
    Annals of operations research 45 (1993), S. 187-204 
    Details
    ISSN: 1572-9338
    Keywords: Asymptotic growth rate ; asymptotic variance ; portfolio optimization ; mean-variance model
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper is concerned with a portfolio optimization model for a long planning horizon. We first argue that in this case the asymptotic growth rate and the asymptotic variance are better measures of performance than the usual mean and variance of return. We next propose an efficient algorithm for calculating the asymptotic frontier, i.e., the efficient frontier relative to the new criteria. Finally, we illustrate our methods and compare the difference between our model and the classical mean-variance-model by using historical data based on the 1064 stocks of the Tokyo Stock Exchange.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02282049
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
    Fulltext
  • 2
    Electronic Resource
    Electronic Resource
    An International Portfolio Optimization Model Hedged with Forward Currency Contracts (1997)
    Springer
    Asia Pacific financial markets 4 (1997), S. 275-286 
    Details
    ISSN: 1573-6946
    Keywords: exchange rate risk ; financial engineering ; internationally diversified portfolio ; mean-variance model
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We will propose a new method for constructing an optimal portfolio in which the fund is allocated to assets and currencies of several countries. Traditionally, two or three stage method is adopted in this field. However, it neglects the risk associated with variations of the rate of return of individual assets and the exchange rate of currencies. Instead, the new method enables one to simultaneously determine the optimal amount of fund to be allocated to each asset and the amount of the forward contracts on currencies. The resulting optimization problem is apparently a nonconvex minimization problem due to the existence of product terms in the objective function. We will show, however, that a globally optimal solution can be calculated by a standard algorithm in an efficient way. Also we will demonstrate that the new method leads to a substantially better result using historical data of U.S., Japan and Germany.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1009656805019
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
    Fulltext
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