International portfolio optimisation with integrated currency overlay costs and constraints

作者：

Highlights：

• An international portfolio employs a currency overlay to manage currency exposure.

• An optimisation model for the optimal overlay and asset allocation is proposed.

• Costs associated to forwards affecting risk and return of portfolios are included.

• Effects of currency overlay constraints and costs of overlay on optimal solutions are studied.

摘要

•An international portfolio employs a currency overlay to manage currency exposure.•An optimisation model for the optimal overlay and asset allocation is proposed.•Costs associated to forwards affecting risk and return of portfolios are included.•Effects of currency overlay constraints and costs of overlay on optimal solutions are studied.

论文关键词：Mean-variance optimisation,Currency overlay,Foreign exchange forward contracts

论文评审过程：Received 22 January 2016, Revised 3 April 2017, Accepted 4 April 2017, Available online 8 April 2017, Version of Record 8 May 2017.

论文官网地址：https://doi.org/10.1016/j.eswa.2017.04.009