全球智库信息集成服务系统(G2TT): Exchange rate forecasting and the performance of currency portfolios. IHS Economics Series 326.

G2TT

来源类型	Other
	Exchange rate forecasting and the performance of currency portfolios. IHS Economics Series 326.
	Crespo Cuaresma J; Fortin I; Hlouskova J
发表日期	2017
出处	IHS Vienna , Austria.
出版年	2017
语种	英语
摘要	We examine the potential gains of using exchange rate forecast models and forecast combination methods in the management of currency portfolios for three exchange rates, the euro (EUR) versus the US dollar (USD), the British pound (GBP) and the Japanese yen (JPY). We use a battery of econometric specifications to evaluate whether optimal currency portfolios implied by trading strategies based on exchange rate forecasts outperform single-currency and the equally weighted portfolio. We assess the differences in profitability of optimal currency portfolios for different types of investor preferences, different trading strategies, different composite forecasts and different forecast horizons.
主题	Ecosystems Services and Management (ESM)
关键词	currency portfolios, exchange rate forecasting, trading strategies, profitability
URL	http://pure.iiasa.ac.at/id/eprint/14330/
来源智库	International Institute for Applied Systems Analysis (Austria)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/135743
推荐引用方式 GB/T 7714	Crespo Cuaresma J,Fortin I,Hlouskova J. Exchange rate forecasting and the performance of currency portfolios. IHS Economics Series 326.. 2017.