Luc, BAUWENS; Walid, BEN OMRANE; Erick, Rengifo - Institut de Recherche Économique et Sociale (IRES), … - 2006
We design and implement optimal foreign exchange portfolio allocations. An optimal allocation maximizes the expected return subject 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...