Correlations between international equity market returns tend to increase in highly volatile
bear markets, which has led some to doubt the benefits of international diversification. This …

We develop an integrated simulation and optimization framework for multicurrency asset
allocation problems. The simulation applies principal component analysis to generate …

This paper 1 seeks to clarify the role of international investment in pension fund investment
strategies. 2 It draws on experience of Organisation for Economic Cooperation and …

Derivatemärkte bieten den Wirtschaftssubjekten verbesserte und erweiterte Möglichkeiten
zur Transformation von Risiken, die Separation einzelner Risikobestandteile und damit die …

The literature on the convenience of currency hedging of international portfolio investments
has not reached a final verdict. There are arguments for (Perold and Schulman [Perold, AF …

Financial management continues to change at a rapid pace. Advancements are occurring
not only in the theory of financial management but also in its real-world practice. One result …

This paper reviews macroeconomic aspects of pension reforms in Latin America, focusing
on financial market stability and fiscal sustainability. Concentration of pension fund portfolios …

We find that the mean returns and standard deviations of global portfolios with hedged
currencies during the 15-year period 1988-2002 were approximately equal to those of …

We study currency risk management in the context of scenario analysis. We develop
scenario-based optimization models that jointly determine the portfolio composition and the …