Bauwens, Luc; Ben Omrane, Walid; Rengifo, Erick - In: Computational Statistics & Data Analysis 54 (2010) 11, pp. 2400-2418
A portfolio selection model which allocates a portfolio of currencies by maximizing the expected return subject to Value-at-Risk (VaR) constraint is designed and implemented. Based on an econometric implementation using intradaily data, the optimal portfolio allocation is forecasted at regular...