Data and Currency Portfolios
Robust Optimization of Currency Portfolios
... In all of the approaches mentioned, the hedging instrument was always the forward rate, with little attention given to currency options. In 1983, Giddy [11] studied the application of foreign exchange options, the ...
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Exchange rate forecasting and the performance of currency portfolios
... optimal portfolios consist of three single assets, the returns of which are implied by a certain trading strategy (from the two trading strategies described above) with respect to MSE-based composite forecasts of ...
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The Conditional Risk and Return Trade-Off on Currency Portfolios
... for currency portfolios. Doing so within a data rich environment, we also develop broad based measures of investor ...between currency returns and risk vary over ...value currency ...
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Currency Hedging for International Portfolios
... of data for a ...foreign currency in an index fully back into the base currency using beginning-of-period investment ...that currency-equity correlations are unstable and fluctuate from plus ...
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The Cross-Section of Currency Order Flow Portfolios
... flow data are disaggregated by key customer types which are a priori likely to be het- erogeneous in terms of the information they ...the data cover a broad cross-section of 15 currencies over a very long ...
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Hedging Foreign Currency, Freight and Commodity Futures Portfolios: A Note
... new data are added each week the OLS hedge ratio, like the SUR and MGARCH methodologies, will experience some variability (albeit small) in the out-of-sample ...
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European Investor Currency Hedging: Forwards or Options in International Portfolios
... of currency forward contracts and currency put option for three different portfolios—Portfolio of Emerging Markets, Portfolio of Developed Countries, and the International Portfolio—are examined from ...
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On optimising risk exposures with trend-following strategies in currency overlay portfolios
... currencies portfolios pairs that are significantly different from each other, in terms of the sub-samples based on the month and quarter ...currencies portfolios pairs, the first two or three letters denote ...
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Technical analysis in estimating currency risk portfolios: case study: commercial banks in Romania
... the data series is not equal to its module, a left asymmetry/ skewness can be noticed, suggesting that most of the extreme values are oriented to the left, showing the appreciation trend of the RON/EUR rate of ...
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The role of banking portfolios in the transmission from currency crises to banking crises - potential effects of Basel II
... cross-sectional data of 49 countries from September 1995, the authors use a regression analysis to establish which quantitative factors are most relevant in the determination of sovereign credit ratings of Moody’s ...
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Currency Portfolios and Currency Exchange in a Search Economy
... weak currency from the seller lowers the amount of goods they need to acquire for giving up a ...home currency as change, thereby maintaining the size of their currency ...one currency is ...
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Currency Hedging for International Stock Portfolios
... stock portfolios can be improved upon by hedging (part of) the associated currency ...e¢cient portfolios for di¤erent risk aversions as well as relative to portfolios that are optimal for ...
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The Conditional Volatility Premium on Currency Portfolios
... Now, we move on to our main findings and Figure 2 presents time-varying risk-return parameters with 90% confidence intervals. We adopt the same model in Table 4 and the risk-return parameter of carry trade is negative ...
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Currency hedging strategies in international portfolios
... and currency futures returns), is the definition of the amount of futures contracts to sell (or buy) for each Euro invested in the international ...and currency futures ...
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Currency portfolios and nominal exchange rates in a dual currency search economy
... foreign currency in order to maintain the value of the domestic ...dual currency issues but all of them rely on the one-unit inventory restriction on money ...dual currency economies such as ...
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Exchange rate forecasting and the performance of currency portfolios
... optimal portfolios at a forecast horizon of one month, the mean-squared error provides the highest performance, while best performance results with respect to certain benchmark portfolios are achieved for ...
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Beyond the carry trade: optimal currency portfolios
... of currency managers and …nd that they explored carry, momentum and value strategies before the crisis but shifted substantially across investment styles over ...most currency managers were heavily exposed ...
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Currency hedging for emerging market value portfolios
... Derivatives in emerging markets are mainly used to hedge or speculate on exchange rate risk. Currency derivatives account for about 80% of the derivatives market in EM. This large share has a number of reasons: ...
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Beyond the Carry Trade: Optimal Currency Portfolios
... a currency in the forward market at the ask (bid) price, and the forward is settled at the next month’s spot ...and currency, transaction costs are proportional to the absolute weight put on that particular ...
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Beyond the Carry Trade: Optimal Currency Portfolios
... and currency, transaction costs are proportional to the absolute weight put on that particular ...the currency characteristics as seen in equation 2, so transaction costs depend crucially on the ...
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