Robust International Portfolio Optimization with Worst-Case Mean-LPM

Table 2

Sample-based covariance matrix of returns of assets and exchange rates during the in-sample period.

Covariance	N225	HSI	SPX	FISE	JPYCNY	HKDCNY	USDCNY	GBPCNY
N225	4.9167e − 4
HSI	2.1037e − 4	4.1199e − 4
SPX	1.6326e − 4	1.3223e − 4	2.1912e − 4
FISE	1.8179e − 4	1.2539e − 4	1.5819e − 4	2.1408e − 4
JPYCNY	−1.8237e − 5	5.1719e − 5	1.5598e − 6	−3.4262e − 5	1.2603e − 4
HKDCNY	2.6835e − 7	− 3.6671e − 6	6.0277e − 8	2.2379e − 7	2.1178e − 6	2.4194e − 6
USDCNY	−6.6258e − 8	−5.0596e − 6	−1.4664e − 6	1.5952e − 7	3.3600e − 7	2.4910e − 6	3.1682e − 6
GBPCNY	−4.2339e − 6	7.0252e − 5	1.7282e − 5	−3.3184e − 5	6.9690e − 5	1.5398e − 6	8.5962e − 7	1.3084e − 4