経営工学系ワーキングペーパー 2017-7 掲載

経営工学系では、系の最新の研究成果の報告を掲載する「ワーキングペーパー」を発行しております。

最新号は「2017-7: Taeko Kuwayama, Tomonari Kitahara, Shinji Mizuno, Sho Uekusa, A CVaR model with an optimal hedging strategy for international portfolio selection」です。

論文タイトル

A CVaR model with an optimal hedging strategy for international portfolio selection

著者

Taeko Kuwayama, Tomonari Kitahara, Shinji Mizuno, Sho Uekusa

論文要旨

For international portfolio selection, currency risks affect the performance of a portfolio. We can reduce currency risks by introducing forward contracts. In this paper, we propose an optimization model for international portfolio selection with hedging strategies using forward contracts. As a risk measure, we use Conditional Value at Risk (CVaR) of the portfolio's return. The model decides both a portfolio and hedge ratios simultaneously such that CVaR is minimized under the condition that the expected return of the portfolio is not less than a predetermined value. At first, the model is formulated as a nonlinear programming problem. Then we will show that the model is equivalently converted to a linear programming problem. We conduct numerical experiments to evaluate the proposed model. As a result, we observe that the proposed model automatically adjusts the portfolio and the hedge ratios according to market environments and this adjustment leads to a stable performance of the portfolio.

今後も新しい号が発行され次第掲載していきます。

• 広報誌
• 経営工学系ワーキングペーパー 2017-7