FOREIGN CURRENCY - Optimal Portfolios of Foreign Currencies - Empirical evidence suggests that forward exchange rates are biased predictors of future spot exchange rates. Currencies with higher nominal interest rates tend to appreciate rather than depreciate as predicted by the forward rates. Simultaneously, exchange rates also turn out to be notoriously difficult to predict using plausible ...
Year of publication: |
2001
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Authors: | Baz, Jamil ; Breedon, Francis ; Naik, Vasant ; Peress, Joel |
Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - Vol. 28.2001, 1, p. 102-111
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