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.
Many thanks are due to Valeria Aiudi, SanPaolo IMI Asset Management SGR, for her help.
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References
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© 2002 Springer Science+Business Media Dordrecht
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Mignacca, D., Meucci, A. (2002). Multi-Period Optimal Asset Allocation for a Multi-Currency Hedged Portfolio. In: Kontoghiorghes, E.J., Rustem, B., Siokos, S. (eds) Computational Methods in Decision-Making, Economics and Finance. Applied Optimization, vol 74. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-3613-7_1
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DOI: https://doi.org/10.1007/978-1-4757-3613-7_1
Publisher Name: Springer, Boston, MA
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