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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)

Abstract

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.

Keywords

Tracking Error Asset Price Fund Manager Asset Allocation Portfolio Allocation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

  1. [1]
    D. Mignacca, Asset Allocation Dinamica in Presenza Di un Benchmark, AIFIRM (Italian Associacion of Financial Risk Management), working paper 09/03/99.Google Scholar
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    J.C. Hull, 2000, Options, Futures and Other Derivatives with Disk, Prentice Hall.Google Scholar
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    W.T. Ziemba and J.M. Mulvey, 1998, Worldwide Asset and Liability Modeling, Cambridge University Press.Google Scholar
  4. [4]
    R. Roll, Summer 1992, A MeanNariance Analysis of Tracking Error, the journal of portfolio management, 13–22.Google Scholar
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    M.J. Best and R.R. Grauer, 1991, On the Sensitivity of Mean-VarianceEfficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results, the review of financial studies, 4, 315–342.Google Scholar

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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