International portfolio optimisation with integrated currency overlay costs and constraints
International financial portfolios can be exposed to substantial risk from variations of the exchange rates between the countries in which they hold investments. Nonetheless, foreign exchange can both generate extra return as well as loss to a portfolio, hence rather than just being avoided, there a...
| Main Authors: | , |
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| Format: | Article |
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Elsevier
2017
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| Online Access: | https://eprints.nottingham.ac.uk/43781/ |