International Asset Allocation with Time‐Varying Investment Opportunities

International Asset Allocation with Time-Varying Investment Opportunities

International Asset Allocation with Regime Shifts

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 article solves the dynamic portfolio choice problem of a US investor faced with a time-varying investment opportunity set modeled using a regime-switching process which may be characterized by correlations and ...

Robust Investment Management with Uncertainty in Fund Managers' Asset Allocation

We consider a problem where an investment manager must allocate an available budget among a set of fund managers, whose asset class allocations are not precisely known to the investment manager. In this paper, we propose a robust framework that takes into account the uncertainty stemming from the fund managers’ allocation, as well as the more traditional uncertainty due to uncertain asset class...

International Asset Allocation for Incompletely-informed Investors

In this study, we attempt to explain the home bias puzzle by examining the effect of information quality on the asset allocation decisions taken by agents under the assumption that two types of agents possess different information on the true expected returns of home and foreign assets. Our calibration results based on MSCI data indicate that in order to hedge for the changing quality of the in...

CVaR Models with Selective Hedging for International Asset Allocation∗

We develop an integrated simulation and optimization framework for multicurrency asset allocation problems. The simulation applies principal component analysis to generate scenarios depicting the discrete joint distributions of uncertain asset returns and exchange rates. We then develop and implement models that optimize the conditional-value-at-risk (CVaR) metric. The scenario-based optimizati...