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Journal articles on the topic 'Currency portfolio'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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1

Barroso, Pedro, and Pedro Santa-Clara. "Beyond the Carry Trade: Optimal Currency Portfolios." Journal of Financial and Quantitative Analysis 50, no. 5 (October 2015): 1037–56. http://dx.doi.org/10.1017/s0022109015000460.

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AbstractWe test the relevance of technical and fundamental variables in forming currency portfolios. Carry, momentum, and value reversal all contribute to portfolio performance, whereas the real exchange rate and the current account do not. The resulting optimal portfolio produces out-of-sample returns that are not explained by risk and are valuable to diversified investors holding stocks and bonds. Exposure to currencies increases the Sharpe ratio of diversified portfolios by 0.5 on average, while reducing crash risk. We argue that besides risk, currency returns reflect the scarcity of speculative capital.

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2

Filipozzi, Fabio, and Kersti Harkmann. "Optimal currency hedge and the carry trade." Review of Accounting and Finance 19, no. 3 (August 24, 2020): 411–27. http://dx.doi.org/10.1108/raf-10-2018-0219.

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Purpose This paper aims to investigate the efficiency of different hedging strategies for an investor holding a portfolio of foreign currency bonds. Design/methodology/approach The simplest strategies of no hedge and fully hedged are compared with the more sophisticated strategies of the ordinary least squares (OLS) approach and the optimal hedge ratios found by the dynamic conditional correlation-generalised autoregressive conditional heteroskedasticity approach. Findings The sophisticated hedging strategies are found to be superior to the simple strategies because they lower the portfolio risk in domestic currency terms and improve the Sharpe ratios for multi-asset portfolios. The analyses also show that both the OLS and dynamic hedging strategies imply holding a limited carry position by being long in high-yielding currencies but short in low-yielding currencies. Originality/value The performance of multi-currency portfolios is examined using more realistic assumptions than in the previous literature, including a weekly frequency and a constraint of no short selling. Furthermore, carry trades are shown to be part of an optimal portfolio.

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3

Ахмад, Муніб, Юсаф Алі Хан, Іртаза Іштіак, and Мухаммед Масуд. "APPLICATION OF SKEWNESS IN PASSING OF ARCH-GARCH MODEL COMMENCE FOR CURRENCY PORTFOLIOS." Економічний вісник. Серія: фінанси, облік, оподаткування, no. 6 (January 12, 2021): 108–24. http://dx.doi.org/10.33244/2617-5932.6.2020.108-124.

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The paper uses Coskewness as risk measure, average return and gives detail of efficient skewness (gamma) of a diversity of currency portfolios. This paper also applies ARCH-GARCH model, significant properties of GARCH allow to efficient modeling financial time series having obese conclusions. Then, we connect Coskewness with ARCH-GARCH models to optimize currency portfolio. To conclude, an empirical study of ten currency portfolios from Pakistan currency exchange market is performed and all the results suggest that Coskewness can better characterized the risk-adjustment and average variance and the performance of ARCH-GARCH model is better than that of ARIMA model in portfolio optimization.

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4

HE, YIJIN, TADAHIRO NAKAJIMA, and SHIGEYUKI HAMORI. "CAN BRICS’S CURRENCY BE A HEDGE OR A SAFE HAVEN FOR ENERGY PORTFOLIO? AN EVIDENCE FROM VINE COPULA APPROACH." Singapore Economic Review 65, no. 04 (June 2020): 805–36. http://dx.doi.org/10.1142/s0217590820500174.

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In this paper, we examine the role of Brazil, Russia, India, China and South Africa’s (BRICS) currency in energy market by using vine copula method. The value-at-risk (VaR) and expected shortfall of two portfolios are calculated. One is a benchmark portfolio which is consisted of only energy prices, the other is a portfolio which adding the BRICS’s exchange rate into the benchmark portfolio. The data period is from 24 August 2010 to 29 November 2019. Our results show the BRICS’s currency can reduce the risk in energy investment.

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5

DeMaskey, Andrea L. "Single and Multiple Portfolio Cross-Hedging with Currency Futures." Multinational Finance Journal 1, no. 1 (March 1, 1997): 23–46. http://dx.doi.org/10.17578/1-1-2.

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6

Cheong, Calvin W. H. "The Islamic gold dinar: a hedge against exchange rate volatility." Managerial Finance 44, no. 6 (June 11, 2018): 722–38. http://dx.doi.org/10.1108/mf-12-2016-0351.

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Purpose The purpose of this paper is to investigate the ability of the Islamic gold dinar to hedge against two well-established foreign exchange (FX) risk factors namely, the dollar risk factor and global FX volatility innovations. Design/methodology/approach The paper uses a combination of the Markowitz (1952) portfolio optimization, visual data representations and the classic Fama-Macbeth (1973) two-pass procedure regressions. Findings The findings show that the Islamic gold dinar can serve as a hedge against market volatility, outperforms a diversified currency portfolio, and through its inclusions into the diversified currency portfolio, improve said portfolio’s ability to hedge against market volatility. Research limitations/implications Due to the spread of the sample, country-specific factors could not be taken into account. Practical implications The Islamic gold dinar is a cost-efficient, cost-effective, and Shariah-compliant instrument that provides a solid hedge for investors and/or firms that have financial positions denominated in foreign currencies. Should these investors or firms find it costly to maintain a dinar-only portfolio, including the dinar into their currency portfolios also provides the same benefit, albeit at a lower magnitude. Originality/value This study is timely as the Accounting and Auditing Organization for Islamic Financial Institutions has recently for the first time recognized gold as a Shariah-compliant investment. The findings of this study provide the first look as to how investors and firms can benefit through the use of the Islamic gold dinar in their risk management practices.

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7

Thomas, Lee R. "Portfolio Theory and Currency Substitution." Journal of Money, Credit and Banking 17, no. 3 (August 1985): 347. http://dx.doi.org/10.2307/1992629.

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8

Sorensen, Eric H., Joseph J. Mezrich, and Dilip N. Thadani. "Currency Hedging Through Portfolio Optimization." Journal of Portfolio Management 19, no. 3 (April 30, 1993): 78–85. http://dx.doi.org/10.3905/jpm.1993.409450.

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9

Bhana, N. "International share portfolio diversification: Possible benefits for South African investors." South African Journal of Business Management 17, no. 3 (September 30, 1986): 162–68. http://dx.doi.org/10.4102/sajbm.v17i3.1051.

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The De Kock Commission has recommended that exchange control regulations be relaxed so that South African investors may acquire foreign securities. The possible gains accruing to South African investors from international share portfolios representing 18 different countries for the period 1969-1983 were investigated. The inclusion of foreign securities results in superior portfolio returns when compared with returns derived from exclusive investment in South African securities. Furthermore, the South African investor accomplishes significant risk reduction when several foreign countries are included in international portfolios. The returns on South African goldmining shares are negatively correlated with most foreign shares. Therefore, goldmining shares feature prominently in optimal portfolios available to South African investors. By contrast local industrial shares are not included in any of the efficient frontiers. Although the currency factor is important, it was not a major element in the performance and risk components of international portfolios during the study period. The currency factor also constitutes a small percentage of the total risk of an unweighted portfolio representing the 18 selected countries. The importance of the currency factor is minimized due to low and possibly even negative correlations between share prices and exchange rate movements in the different countries.

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10

Mazanec, Jaroslav. "Portfolio Optimalization on Digital Currency Market." Journal of Risk and Financial Management 14, no. 4 (April 3, 2021): 160. http://dx.doi.org/10.3390/jrfm14040160.

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Virtual currency represents a specific technological innovation on financial markets. Bitcoin and other cryptocurrencies are popular alternatives to traditional cash and investment. We indicate a research gap in the literature review. We find out that current research focused rarely on portfolio diversification using bibliographic analysis in VOSviewer. We think that portfolio diversification is extremely important on the crypto market for most investors because virtual currencies are very risky compared to traditional assets. The primary aim is to construct an optimal portfolio consisting of several cryptocurrencies without traditional assets using a modern theory portfolio. The total sample consists of 16 virtual currencies from 1 October 2017 to 13 January 2020. We mainly obtain historical data on the daily close price of cryptocurrencies from Yahoo Finance. The results show that the optimal portfolio using Markowitz approach consists of Cardano, Binance Coin, and Bitcoin. In addition, virtual currencies are moderately Correlated, with the exception of Tether based on correlation analysis. The high correlation is dangerous for cryptocurrency in portfolio diversification. However, Tether is an atypical virtual currency compared to other cryptocurrencies.

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11

Shchurevych, O., and O. Kotsemira. "Financial dollarization in the economy of Ukraine." Galic'kij ekonomičnij visnik 66, no. 5 (2020): 131–38. http://dx.doi.org/10.33108/galicianvisnyk_tntu2020.05.131.

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The essence of dollarization phenomenon is considered in this paper. It is noted that dollarization occurs when the national currency does not completely perform the functions of money. In this case, the national currency is replaced in some transactions by foreign ones. Basically, it is the currency of highly developed countries with sustainable economic development. The defined main causes of dollarization in Ukraine are as follows: depositors attempt to keep their savings from devaluation result in financial crises accompanied by significant devaluation and inflation; distrust in regulator and government actions. The disadvantages of dollarization phenomenon for the national economy development are systematized and the following key ones are identified: decrease in the efficiency of NBU monetary policy, decrease in confidence in the national currency and banking system, decrease in demand for the national currency, growth of shadow economy and as the result tax revenues reduction. It is emphasized that one of dollarization types is financial dollarization, for which level assessment a number of indicators are selected: dollarization of loan and deposit portfolios, dollarization of MQ monetary aggregate. The structure of the deposit portfolio of individuals and legal entities in terms of currencies is considered and it is found that in periods of intensification of the crisis the level of dollarization increased, and in periods of relative stability – decreased. It is generalized that about 40% of the deposit portfolio is denominated in foreign currency. It means that consumers of financial services trust and save more in foreign currency. The structure of the deposit portfolio of individuals and legal entities in terms of currencies is considered and it is found that during the periods of crisis phenomena intensification the dollarization level increases, and during the periods of relative stability – decreases. It is summarized that about 40% of the deposit portfolio is denominated in foreign currency, i.e. the consumers of financial services trust and save more in foreign currency. The structure of the loan portfolio is analyzed and it is determined that the level of dollarization of the loan portfolio of legal entities is more than 40%, and consumer loans in foreign currency are prohibited, so the dollarization of the loan portfolio of individuals decreases annually up to 18%. The ratio of foreign currency deposits to money supply (MQ) is calculated, which, like other calculated indicators, proves that Ukraine has high dollarization level. Based on the carried out analysis, the conclusions concerning the need to coordinate the efforts of the central bank, government, parliament in order to reduce the dollarization level up to the natural level for the elimination of threatening consequences for the national economy are substantiated.

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12

Borochkin, A. A. "Investment portfolio Forex risk hedging in the international stock market." Finance and Credit 26, no. 3 (March 30, 2020): 644–72. http://dx.doi.org/10.24891/fc.26.3.644.

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Subject. Investment management on the international financial market necessitates a special approach to foreign currency hedging. The majority of international investors fully eliminate risk associated with their foreign-exchange holdings, seeking profits only from stock price differentials. In certain circumstances, a correlation between local currency exchange rate and local stock index may provide additional opportunities for profit generation. Objectives. The aim of the study is to test the hypothesis that partial currency risk-taking may reduce the total portfolio risk and increase return on international investment. Methods. I apply the global optimization approach to calculate investment portfolios for 11 countries of the world. Each portfolio includes shares of 20–25 highly capitalized companies. Descriptive statistic methods are used to check the input data, i.e. random variable calculation, pivot tables. Investment strategy efficiency is assessed based on the Sharpe Ratio, Sortino Ratio, Treynor Ratio and Omega Ratio. Results. Currency hedge position at the rate of about 14 percent of the total portfolio value may increase investment yield by two percentage points annually on the ten-year time span. Conclusions and Relevance. Total currency risk hedge is necessary for investment in developed and developing countries that pursue the policy of regular devaluation of their national currency. Market regulators inside a particular country should take into account that a sudden devaluation of national currency may be needed, if return on the stock market is lower than that of risk-free instruments.

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13

Vardiabasis, Demos, Natalie Moshiri, Yury Adamov, and Samuel L. Seaman. "Social Currency: The Raconteur’s Investment Portfolio." Athens Journal of Business & Economics 1, no. 2 (March 31, 2015): 153–58. http://dx.doi.org/10.30958/ajbe.1-2-5.

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14

Jadevicius, Arvydas. "Real estate portfolios – the case for globally diversified core property funds." Journal of Property Investment & Finance 38, no. 1 (November 4, 2019): 82–86. http://dx.doi.org/10.1108/jpif-09-2019-0123.

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Purpose The purpose of this paper is to build a case for globally diversified core real estate funds portfolio. Design/methodology/approach It uses Monte Carlo simulation technique to construct synthetic real estate funds portfolios. Findings Benefit of maintaining globally diversified real estate funds portfolio merits admission. An optimal portfolio has an almost even split between Europe, USA and Asia Pacific, ceteris paribus. Likewise, currency effect for Europe domiciled investors is undeniable. Practical implications The overall estimates suggest that a blend of APAC, European and US allocations enhance portfolio risk return profile. Originality/value The study adds additional evidence on the contested issue of real estate diversification.

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15

XU, WEIJUN, WEIDONG XU, HONGYI LI, and WEIGUO ZHANG. "UNCERTAINTY PORTFOLIO MODEL IN CROSS CURRENCY MARKETS." International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 18, no. 06 (December 2010): 759–77. http://dx.doi.org/10.1142/s0218488510006787.

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Owing to the fluctuations in the financial markets, many financial variables such as expected return, volatility, or exchange rate may occur imprecisely. But many portfolio selection models consider precise input of these values. Therefore, this paper studies a multiobjective international asset allocation problem under fuzzy environment. In our portfolio selection model, both of the return risk and the exchange risk are considered. The coefficient matrices in the objectives and constraints and the decision value are considered as fuzzy variables. The calculation of the portfolio and efficient frontier is derived by considering the exchange risk in the fuzzy environment. An empirical study is performed based on a portfolio of six securities denominated in six different currencies, i.e., USD, EUR, JPY, CNY, HKD, and GBP. The α-level closed interval portfolio [Formula: see text] and the fuzzy efficient frontier are obtained with different values of α ∈ (0, 1]. The empirical results indicate that the fuzzy asset selection method is a useful tool for dealing with the imprecise problem in the real world.

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16

Todri, Ardita, and Francesco Roberto Scalera. "A Delta Normal Approach for Modelling Risk Forecasting of Currency Portfolio." International Journal of Agricultural and Environmental Information Systems 11, no. 4 (October 2020): 55–68. http://dx.doi.org/10.4018/ijaeis.2020100104.

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This research explores the benefits of a proactive model developed through delta normal approach implementation for the forecasting of currency portfolio volatility. The latter becomes a necessity for the Albanian agro exporters as they act in an international trading environment and face the de-Euroization process effects in domestic market. The forecasting of value at risk (VaR) at 99% confidence level is obtained through the implementation of a moving window containing 251 daily currency exchange rates logarithmic returns calculated by the exponentially weighted moving average method (EWMA). A decay factor of 0.94 is used in the simulated currency portfolios database (composed from six different currency positions) pertaining to 30 agro exporters in reference of 2018 year data. The analysis of incremental VaR decomposed in risk per currency unit and VaR contribution concludes that the implementation of this mechanism offers hedge opportunities and enables the agro exporters to undertake even speculative interventions.

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17

Alexiou, Constantinos, Sofoklis Vogiazas, and Abid Taqvi. "Macroeconomic announcements and stock returns in US portfolios formed on operating profitability and investment." Investment Management and Financial Innovations 15, no. 1 (January 25, 2018): 68–89. http://dx.doi.org/10.21511/imfi.15(1).2018.08.

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The authors explore the reaction of US stock portfolio returns to macroeconomic announcements spanning the period from April 1998 to May 2017. Using daily returns of 25 portfolios formed on operating profitability and investment, the authors investigate the extent to which potential asymmetries permeate the stock portfolios following macroeconomic announcements. The three methodological approaches utilized in this study suggest that the ISM non-manufacturing index, employees on non-farm payrolls, retail sales, personal consumption expenditure and initial jobless claims have a significant impact on portfolio returns. Also, portfolios consisting of companies with higher operating profitability and investment level are found to be less responsive to announcements. As the particular area has received little currency over the years, this contribution is of great significance, because it provides insights into the reaction of returns in value-weighted portfolios to announcements on certain macro-indicators. At the same time, the study informs portfolio managers of the implications of macroeconomic news, which drive economic expectations and can reverberate through the expected returns in US stock portfolios.

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18

Filippou, Ilias, Arie E. Gozluklu, and Mark P. Taylor. "Global Political Risk and Currency Momentum." Journal of Financial and Quantitative Analysis 53, no. 5 (October 2018): 2227–59. http://dx.doi.org/10.1017/s0022109018000686.

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Using a measure of political risk, relative to the United States, that captures unexpected political conditions, we show that political risk is priced in the cross section of currency momentum and contains information beyond other risk factors. Our results are robust after controlling for transaction costs, reversals, and alternative limits to arbitrage. The global political environment affects the profitability of the momentum strategy in the foreign exchange market; investors following such strategies are compensated for the exposure to the global political risk of those currencies they hold, that is, the past winners, and exploit the lower returns of loser portfolios. The risk compensation is mainly justified by the different exposures of foreign currencies in the momentum portfolio to U.S. political shocks, which is the main component of global political risk.

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19

Chen, Fen-Ying. "VaR: Exchange Rate Risk and Jump Risk." Journal of Probability and Statistics 2010 (2010): 1–18. http://dx.doi.org/10.1155/2010/196461.

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Incorporating the Poisson jumps and exchange rate risk, this paper provides an analytical VaR to manage market risk of international portfolios over the subprime mortgage crisis. There are some properties in the model. First, different from past studies in portfolios valued only in one currency, this model considers portfolios not only with jumps but also with exchange rate risk, that is vital for investors in highly integrated global financial markets. Second, in general, the analytical VaR solution is more accurate than historical simulations in terms of backtesting and Christoffersen's independence test (1998) for small portfolios and large portfolios. In other words, the proposed model is reliable not only for a portfolio on specific stocks but also for a large portfolio. Third, the model can be regarded as the extension of that of Kupiec (1999) and Chen and Liao (2009).

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20

de Freitas, Miguel Lebre, and Francisco Jose Veiga. "Currency substitution, portfolio diversification, and money demand." Canadian Journal of Economics/Revue canadienne d'conomique 39, no. 3 (August 2006): 719–43. http://dx.doi.org/10.1111/j.1540-5982.2006.00366.x.

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21

Galstyan, Vahagn, Caroline Mehigan, and Rogelio Mercado. "The currency composition of international portfolio assets." Journal of International Money and Finance 103 (May 2020): 102132. http://dx.doi.org/10.1016/j.jimonfin.2019.102132.

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22

Mercurio, Peter Joseph, Yuehua Wu, and Hong Xie. "Portfolio Optimization for Binary Options Based on Relative Entropy." Entropy 22, no. 7 (July 9, 2020): 752. http://dx.doi.org/10.3390/e22070752.

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The portfolio optimization problem generally refers to creating an investment portfolio or asset allocation that achieves an optimal balance of expected risk and return. These portfolio returns are traditionally assumed to be continuous random variables. In An Entropy-Based Approach to Portfolio Optimization, we introduced a novel non-parametric optimization method based on Shannon entropy, called return-entropy portfolio optimization (REPO), which offers a simple and fast optimization algorithm for assets with continuous returns. Here, in this paper, we would like to extend the REPO approach to the optimization problem for assets with discrete distributed returns, such as those from a Bernoulli distribution like binary options. Under a discrete probability distribution, portfolios of binary options can be viewed as repeated short-term investments with an optimal buy/sell strategy or general betting strategy. Upon the outcome of each contract, the portfolio incurs a profit (success) or loss (failure). This is similar to a series of gambling wagers. Portfolio selection under this setting can be formulated as a new optimization problem called discrete entropic portfolio optimization (DEPO). DEPO creates optimal portfolios for discrete return assets based on expected growth rate and relative entropy. We show how a portfolio of binary options provides an ideal general setting for this kind of portfolio selection. As an example we apply DEPO to a portfolio of short-term foreign exchange currency pair binary options from the NADEX exchange platform and show how it outperforms leading Kelly criterion strategies. We also provide an additional example of a gambling application using a portfolio of sports bets over the course of an NFL season and present the advantages of DEPO over competing Kelly criterion strategies.

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23

Uyar, Umut, and Ibrahim Korkmaz Kahraman. "The risk analysis of Bitcoin and major currencies: value at risk approach." Journal of Money Laundering Control 22, no. 1 (January 7, 2019): 38–52. http://dx.doi.org/10.1108/jmlc-01-2018-0005.

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Purpose This study aims to compare investors of major conventional currencies and Bitcoin (BTC) investors by using the value at risk (VaR) method common risk measure. Design/methodology/approach The paper used a risk analysis named as VaR. The analysis has various computations that Historical Simulation and Monte Carlo Simulation methods were used for this paper. Findings Findings of the analysis are assessed in two different aspects of singular currency risk and portfolios built. First, BTC is found to be significantly risky with respect to the major currencies; and it is six times riskier than the singular most risky currency. Second, in terms of inclusion of BTC into a portfolio, which equally weights all currencies, it elevates overall portfolio risk by 98 per cent. Practical implications In spite of the remarkable risk level, it could be considered that investors are desirous of making an investment on BTC could mitigate their overall exposed risk relatively by building a portfolio. Originality/value The paper questions the risk level of Bitcoin, which is a digital currency. BTC, a matter of debate in the contemporary period, is seen as a digital currency free from control or supervision of a regulatory board. With the comparison of major currencies and BTC shows that how could be risky of a financial instrument without regulations. However, there is some advice for investors who would like to invest digital currencies despite the risk level in this study.

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24

Bugár, Gyöngyi, and Raimond Maurer. "International Equity Portfolios and Currency Hedging: The Viewpoint of German and Hungarian Investors." ASTIN Bulletin 32, no. 1 (May 2002): 171–97. http://dx.doi.org/10.2143/ast.32.1.1022.

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AbstractIn this paper we study the benefits derived from international diversification of equity portfolios from the German and the Hungarian points of view. In contrast to the German capital market, which is one of the largest in the world, the Hungarian Stock Exchange is an emerging market. The Hungarian stock market is highly volatile, high returns are often accompanied by extremely large risk. Therefore, there is a good potential for Hungarian investors to realise substantial benefits in terms of risk reduction by creating multi-currency portfolios. The paper gives evidence on the above mentioned benefits for both countries by examining the performance of several ex ante portfolio strategies. In order to control the currency risk, different types of hedging approaches are implemented.

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Alpanda, Sami, and Serdar Kabaca. "International Spillovers of Large-Scale Asset Purchases." Journal of the European Economic Association 18, no. 1 (February 14, 2019): 342–91. http://dx.doi.org/10.1093/jeea/jvy053.

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Abstract This paper evaluates the international spillover effects of large-scale asset purchases (LSAPs) using an estimated two-country dynamic stochastic general-equilibrium model with nominal and real rigidities and portfolio balance effects. Portfolio balance effects arise from imperfect substitutability between short- and long-term bond portfolios in each country, as well as between domestic and foreign bonds within these portfolios. We show that LSAPs in the United States lower long-term yields and stimulate economic activity not only in the United States, but also in the rest of the world (ROW) economy. This occurs despite the currency appreciation in the ROW and the resulting deterioration in their trade balance. The key for this result is the decline in the ROW term premia through the portfolio balance channel, as the relative demand for ROW long-term bonds increases following an LSAP in the United States. Our model indicates that US asset purchases that generate the same output effect as US conventional monetary policy has larger international spillovers due to stronger portfolio balance effects. We also show that international openness in financial markets reduces the stimulatory effects of LSAPs in the originating country, while increasing their international spillover effects.

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26

Foley, AJ. "Regime switching in currency markets and portfolio flows." Journal of Asset Management 2, no. 4 (March 2002): 353–67. http://dx.doi.org/10.1057/palgrave.jam.2240058.

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27

Steinberg, Larry. "Currency: What Is Its Role in a Portfolio?" Journal of Index Investing 2, no. 1 (May 31, 2011): 102–3. http://dx.doi.org/10.3905/jii.2011.2.1.102.

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28

Daly, J., M. Crane, and H. J. Ruskin. "Random matrix theory filters and currency portfolio optimisation." Journal of Physics: Conference Series 221 (April 1, 2010): 012003. http://dx.doi.org/10.1088/1742-6596/221/1/012003.

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29

Huamán-Aguilar, Ricardo, and Abel Cadenillas. "Government Debt Control: Optimal Currency Portfolio and Payments." Operations Research 63, no. 5 (October 2015): 1044–57. http://dx.doi.org/10.1287/opre.2015.1412.

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30

Brière, Marie, Kim Oosterlinck, and Ariane Szafarz. "Virtual currency, tangible return: Portfolio diversification with bitcoin." Journal of Asset Management 16, no. 6 (October 15, 2015): 365–73. http://dx.doi.org/10.1057/jam.2015.5.

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31

Guesmi, Khaled, Samir Saadi, Ilyes Abid, and Zied Ftiti. "Portfolio diversification with virtual currency: Evidence from bitcoin." International Review of Financial Analysis 63 (May 2019): 431–37. http://dx.doi.org/10.1016/j.irfa.2018.03.004.

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32

Tang, Gordon Y. N. "Impact of investment horizon on currency portfolio diversification." International Business Review 5, no. 1 (February 1996): 99–116. http://dx.doi.org/10.1016/0969-5931(96)00035-2.

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33

Narsoo, Jason. "Performance Analysis of Portfolio Optimisation Strategies: Evidence from the Exchange Market." International Journal of Economics and Finance 9, no. 6 (May 15, 2017): 124. http://dx.doi.org/10.5539/ijef.v9n6p124.

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Portfolio allocation is embedded in many decisional tasks for ensuring best returns under the constraint of minimising risk. In this paper, we implement several strategies in order to generate a holistic assessment of portfolio evaluation. The study analyses the performance of an extended framework of the classical tangency and targeted portfolio strategies. The extension is essentially the use of the skewed student-t distribution for the individual assets’ log-return. Our investigation is based on 15 currencies with US dollar as the base currency for the period spanning from 1999 to 2015. A comparative performance analysis between the portfolio optimization strategies is undertaken on the basis of various performance measures, namely the portfolio expected return, standard deviation, Beta coefficient, Sharpe Ratio, Jensen’s Alpha, Treynor ratio and Roy ratio. The portfolio VaR being perceived as one of the core metrics for risk management is also computed. It is actually proxied by 5 VaR estimates - the parametric Gaussian, the equally-weighted historical VaR, the bootstrapping historical VaR, the Monte-Carlo simulation VaR and the parametric GHD VaR. The results show that both tangency portfolios, with the Gaussian or the skewed student-t distribution perform best, particularly on the basis of highest Sharpe reward-to-variability ratio and lowest Value-at-Risk.

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34

Massa, Massimo, Yanbo Wang, and Hong Zhang. "Benchmarking and Currency Risk." Journal of Financial and Quantitative Analysis 51, no. 2 (April 2016): 629–54. http://dx.doi.org/10.1017/s0022109016000284.

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AbstractWe show that the currency risk embedded in the benchmarks of international mutual funds negatively affects fund performance. More specifically, a high benchmark-implied currency risk induces funds to invest in markets with less volatile currencies, leading to a higher degree of currency concentration in portfolio holdings. This currency concentration, however, departs from the optimal equity allocation strategy across countries and reduces fund performance. We document that funds resorting to high currency concentrations underperform funds with low currency concentrations by as much as 1%–2% per year.

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Tichý, Tomáš. "Examination of Portfolio Currency Risk Estimation by Means of Lévy Models." Politická ekonomie 58, no. 4 (August 1, 2010): 504–21. http://dx.doi.org/10.18267/j.polek.744.

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Fiedor, Paweł, and Artur Hołda. "Information-theoretic approach to quantifying currency risk." Journal of Risk Finance 17, no. 1 (January 18, 2016): 93–109. http://dx.doi.org/10.1108/jrf-03-2015-0029.

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Purpose – This paper aims to present a framework enriching currency risk analyses based on information theory. Design/methodology/approach – Information-theoretic measures of predictability (entropy rate) and co-dependence (mutual information) are used to enhance existing methods of analysing and measuring currency risk. Findings – The currency exchange rates have varying degrees of predictability, which should be accounted for in currency risk analyses. In case of baskets of currencies, a network approach rooted in portfolio theory may be useful. Research limitations/implications – The currency exchange rate time series must be discretised for the information-theoretic analysis (although the results are robust). An agent-based simulation may be a necessary further study to show what the impact of accounting for predictability in managing currency risk is. Practical implications – Practical analyses measuring currency risk should take predictability of currency rate changes into account wherever the currency exposure is actively managed. Originality/value – The paper introduces predictability into measuring currency risk, which has previously been ignored, despite the nature of the risk being inherently tied to uncertainty of the currency rate changes. The paper also introduces a portfolio theory-based approach to quantifying currency risk, which accounts for non-linear co-dependence in the currency markets.

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Ren, Panpan, and Jianglun Wu. "On-Line Portfolio Selection for a Currency Exchange Market." Journal of Mathematical Finance 06, no. 04 (2016): 471–88. http://dx.doi.org/10.4236/jmf.2016.64038.

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Cho, Namkwon, Hyoung-Goo Kang, and Daesik Kim. "How to Undertake Currency Hedging in Global Portfolio Allocation?" Korean Academic Association of Business Administration 29, no. 5 (May 31, 2016): 737–66. http://dx.doi.org/10.18032/kaaba.2016.29.5.737.

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Dimitriou, Dimitrios, and Theodore Simos. "International portfolio diversification: an ICAPM approach with currency risk." Macroeconomics and Finance in Emerging Market Economies 6, no. 2 (September 2013): 177–89. http://dx.doi.org/10.1080/17520843.2012.736400.

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Lypny, Gregory J. "Hedging foreign exchange risk with currency futures: Portfolio effects." Journal of Futures Markets 8, no. 6 (December 1988): 703–15. http://dx.doi.org/10.1002/fut.3990080605.

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Eiling, Esther, Bruno Gerard, Pierre Hillion, and Frans A. de Roon. "International portfolio diversification: Currency, industry and country effects revisited." Journal of International Money and Finance 31, no. 5 (September 2012): 1249–78. http://dx.doi.org/10.1016/j.jimonfin.2012.01.015.

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Walker, Eduardo. "Strategic currency hedging and global portfolio investments upside down." Journal of Business Research 61, no. 6 (June 2008): 657–68. http://dx.doi.org/10.1016/j.jbusres.2007.06.041.

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Campbell, John Y. "Global Currency Hedging: What Role Should Foreign Currency Play in a Diversified Investment Portfolio?" CFA Institute Conference Proceedings Quarterly 27, no. 4 (December 2010): 8–18. http://dx.doi.org/10.2469/cp.v27.n4.2.

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HUGHES HALLETT, ANDREW, and JUAN CARLOS MARTINEZ OLIVA. "CURRENCY WAR OR CURRENCY PEACE: THE DOLLAR AND RENMINBI IN A WORLD OF PORTFOLIO AND CURRENT ACCOUNT IMBALANCES." China Economic Policy Review 02, no. 01 (June 2013): 1350003. http://dx.doi.org/10.1142/s1793969013500039.

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Omrane, Samia. "An analysis of exchange rate risk exposure related to the public debt portfolio of Tunisia: Beyond VaR approach." Panoeconomicus 59, no. 1 (2012): 59–87. http://dx.doi.org/10.2298/pan1201059o.

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The aim of this study is to assess the exchange rate risk associated with the Tunisian public debt portfolio through Value-at-Risk (VaR) methodology. We use daily spot exchange rates of the Tunisian dinar against the three main debt currencies, the dollar, the euro and the yen. Our period of interest is from 02/01/2004 to 31/12/2008. Thetas and Marginal VaR analysis reveal that Japanese yen is the most risky currency constituting the Tunisian public debt portfolio. American dollar appears as a source of risk for the Tunisian external debt but remains less risky than the yen, while, the euro constitutes a hedge currency for exchange risk management associated with the Tunisian public debt portfolio.

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Gilmore, Stephen, and Fumio Hayashi. "Emerging Market Currency Excess Returns." American Economic Journal: Macroeconomics 3, no. 4 (October 1, 2011): 85–111. http://dx.doi.org/10.1257/mac.3.4.85.

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We consider the excess return from 20 internationally tradable emerging market (EM) currencies against the US dollar. It has two contributions. First, we document stylized facts about EM currencies. EM currencies have provided significant equity-like excess returns against major currencies, but with low volatility. Picking EM currencies with a relatively high forward premium raises the portfolio return substantially. Second, our calculation incorporates institutional features of the foreign exchange market, such as lags in settling spot contracts, FX swaps, and bid/offer spreads. Transaction costs arising from bid/offer spreads are less than one-fifth of what is typically presumed in the literature. (JEL C58, F31, G15)

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Hui, Tak-Kee, Rudy Kurniawan, and Hsuan-Yi Cheng. "The Impacts of Asian Currency Crisis on International Portfolio Diversification." Open Operational Research Journal 1, no. 1 (December 5, 2007): 1–8. http://dx.doi.org/10.2174/1874243200701010001.

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Whited, Hsin-hui I. H. "Comment on “Currency substitution versus dollarization: a portfolio balance model”." Journal of Policy Modeling 26, no. 1 (January 2004): 113–16. http://dx.doi.org/10.1016/j.jpolmod.2003.10.003.

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Dunis, Christian, and Jia Miao. "Advanced frequency and time domain filters for currency portfolio management." Journal of Asset Management 7, no. 1 (May 2006): 22–30. http://dx.doi.org/10.1057/palgrave.jam.2240199.

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Gerlach-Kristen, Petra, Robert N. McCauley, and Kazuo Ueda. "Currency intervention and the global portfolio balance effect: Japanese lessons." Journal of the Japanese and International Economies 39 (March 2016): 1–16. http://dx.doi.org/10.1016/j.jjie.2015.10.002.

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