Here is a portfolio optimisation for equity dividend and yield designed to diversify holdings and produce regular monthly returns using only ETFs complete with R code.


The resultant allocation invests in emerging market debt, UK and European corporate debt, and UK property ETFs. Since the objective of the portfolio is return on yield and dividend, I would love some suggestions about how the beta might be hedged cost effectively.

Thank you for your time.

  • $\begingroup$ No thoughts on this at all? How about just how the currency exposure might be hedged with of the shelf instruments? $\endgroup$ – Emir Feb 9 '15 at 21:49
  • $\begingroup$ Please be more accurate in your question. You cannot just say "look at this external page", you should summarize properly the framework to expect answers. $\endgroup$ – lehalle Feb 15 '15 at 10:33
  • $\begingroup$ Thanks lehalle but I've provided both a summary in the post and details on the page for anyone that requires them. I'm not sure what else I can provide? I was expecting answers like "well a large part of European debt yield will be effected by the EUR conversion rate if you're holding the ETF in GBP. You should consider holding a similar ETF in dollars or another currency to hedge some currency risk". I'm not sure that it requires more information. $\endgroup$ – Emir Feb 16 '15 at 8:54
  • $\begingroup$ ok, I hoped for something more detailed and challenging ;{(} no problem anyway $\endgroup$ – lehalle Feb 17 '15 at 20:55

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