Downside Risk Constraints and Currency Hedging in International Portfolios: the Asian and Late-2000 Crisis
MV is the traditional method to treat international portfolio selection problems, which bases its theory on the assumption of Normal Distribution. However, during economy recession the portfolio return turns out to be a fat tail distribution. Therefore, in this sense, we explore Roy’s SF criterion a...
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| Format: | Others |
| Language: | en_US |
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2012
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| Online Access: | http://hdl.handle.net/1969.1/ETD-TAMU-2010-12-8974 |