Optimal Currency Portfolio with Implied Return Distribution in the Mean-Variance Approach
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
https://link.springer.com/content/pdf/10.1007/s10690-023-09414-x.pdf
Reference29 articles.
1. Ackermann, F., Pohl, W., & Schmedders, K. (2017). Optimal and naive diversification in currency markets. Management Science, 63(10), 3347–3360.
2. Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929–985.
3. Audrino, F., Huitema, R., & Ludwig, M. (2021). An empirical implementation of the Ross recovery theorem as a prediction device. Journal of Financial Econometrics, 19(2), 291–312.
4. Baz, J., Breedon, F., Naik, V., & Peress, J. (2001). Optimal portfolios of foreign currencies. The Journal of Portfolio Management, 28(1), 102–111.
5. Beckmann, J., Koop, G., Korobilis, D., & Schüssler, R. A. (2020). Exchange rate predictability and dynamic bayesian learning. Journal of Applied Econometrics, 35(4), 410–421.
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