Multi-Period Optimal Asset Allocation for a Multi-Currency Hedged Portfolio

  • Domenico Mignacca
  • Attilio Meucci
Part of the Applied Optimization book series (APOP, volume 74)


An asset allocation strategy is presented to support a fund manager who wants to outperform a constant weights, constant hedging benchmark. This strategy is a continuous time, multi-period extension of the classical one-period mean-variance optimization framework.


Tracking Error Asset Price Fund Manager Asset Allocation Portfolio Allocation 
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Copyright information

© Springer Science+Business Media Dordrecht 2002

Authors and Affiliations

  • Domenico Mignacca
    • 1
  • Attilio Meucci
    • 2
  1. 1.SanPaolo IMI Asset Management SGRMilanItaly
  2. 2.Manager, Bain & Co., Inc.MilanItaly

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