Robust International Portfolio Optimization with Worst-Case Mean-LPM

Table 1

Sample-based mean returns and standard deviations of assets and exchange rates during the in-sample period.

Asset	Mean	Standard deviation	Currency	Mean	Standard deviation
N225	0.002887	0.022174	JPYCNY	−0.001154	0.011226
HSI	0.003423	0.020297	HKDCNY	−0.000474	0.001555
SPX	0.001875	0.014803	USDCNY	−0.000458	0.001780
FISE	0.002670	0.014631	GBPCNY	0.000180	0.011438