This paper introduces a sparse and stable optimization approach for a multi-currency asset allocation problem. We study the benefits of joint optimization of assets and currencies as opposed to the standard industry practice of managing currency risk via so-called currency overlay strategies. In...

Exchange rate fluctuation has a significant impact on the economic results of different economic agents. In this report are analyzed two exchange rate forecast models is based on macroeconomic factors, such as RiskMetrics Group Inc.(RMG) (NYSE: RISK) and Krugman-and-Obstfeld models and VaR...

Top Agro (TA - not its real name) is a small crop protection start-up operating in the European Union. In a relatively short period of time TA has been able to secure a reasonable profit margin and build a solid niche in the Italian crop protection market. The driving force in their success is...