Affordable Access

Intra-daily FX optimal portfolio allocation

  • Design


We design and implement optimal foreign exchange portfolio allocations. An optimal allocation maximizes the expected return sub ject to a Value-at-Risk (VaR) constraint. Based on intradaily data, the optimization procedure is carried out at regular time intervals. For the estimation of the conditional variance from which the VaR is computed, we use univariate and multivariate GARCH models. The result for each model is given by the best intradaily investment recom- mendations in terms of the optimal weights of the currencies in the risky portfolio

There are no comments yet on this publication. Be the first to share your thoughts.