Efficient frontier-based optimization is driven heavily by the histori
cal and the expected returns of the assets involved. In this study, th
e authors present an asset allocation framework that uses stochastic o
ptimization and scenario analysis to handle the: uncertainties associa
ted with forecasting the expected returns, volariliries, and cross-cor
relations of the assets. Furthermore the framework presented by the au
thors enables investors to incorporate their views on market expected
returns in che optimization phase. Finally, it allows the optimization
process to determine the degree of currency exposure: (hedging) in mu
lticurrency portfolios.