7 citations · 7 across the 2 of their papers we have counts for
2 papers
cs.CE2017
Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios
Nonthachote Chatsanga, Andrew J. Parkes
In this paper, we present a two-stage stochastic international portfolio optimisation model to find an optimal allocation for the combination of both assets and currency hedging po…
q-fin.PM2016★ 7 cited
International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints
Nonthachote Chatsanga, Andrew J. Parkes
Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the poten…