This paper analyzes short term portfolio investment opportunities in a capital market where a currency is defined as a currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine a self-financed optimal investment strategy which...

We consider a local Whittle analysis of a stationary fractionally cointegrated model. A two step estimator equivalent to the local Whittle QMLE is proposed to jointly estimate the integration orders of the regressors, the integration order of the errors, and the cointegration vector. The...

Quadratic optimization for asset portfolios often leads to error maximization, with optimizers zooming in on large errors in the predicted inputs, that is, expected returns and risks. The consequence in most cases is a poor real-time performance. In this paper we show how to improve real-time...