In search of robust methods for multi-currency portfolio construction by value at risk

DOI10.1007/S10690-018-9260-7MaRDI QIDQ1732977zbMATH OpenOpenAlexFDO

Authors Mei-Ling Tang, Trung K. Do

Publication date 26 March 2019

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-018-9260-7

zbMATH Keywords

historical simulationMonte-Carlo simulationmulti-currency portfoliovalue at riskvariance-covariance approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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• Worst-case conditional value-at-risk with application to robust portfolio management

Cites work

• A decision rule to minimize daily capital charges in forecasting value-at-risk
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• How to estimate the value at risk under incomplete information
• scientific article; zbMATH DE number 1228098 (Why is no real title available?)
• Safety First and the Holding of Assets

Cited in

(5)

• The applications of foreign exchange portfolio selection based on GARCH model
• VaR: exchange rate risk and jump risk
• Performance of a hedged stochastic portfolio model in the presence of extreme events
• Optimal currency portfolio with implied return distribution in the mean-variance approach
• Evaluating currency risk in emerging markets

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