Optimal currency portfolio with implied return distribution in the mean-variance approach

DOI10.1007/S10690-023-09414-XzbMATH Open1542.91359MaRDI QIDQ6563715FDOQ6563715

Authors: Yuta Hibiki, Takuya Kiriu, Norio Hibiki 

Publication date: 27 June 2024

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

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zbMATH Keywords

portfolio optimizationmean-variance approachrecovery theoremcurrency portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10) Sums of independent random variables; random walks (60G50) Optimal stochastic control (93E20)

Cites Work

• Asymptotic Inference about Predictive Ability
• Portfolio Optimization Using Forward-Looking Information*

Cited In (1)

• Dynamic currency hedging with non-Gaussianity and ambiguity

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