Optimal multi-currency investment strategies with exact attribution in three Asian countries
AbstractSinger and Karnosky's (1995) exact and complete return attribution framework does not account for risk, since it ignores accumulated historical information. Its implied investment strategy selection is based on simple return maximization and ignores that investment strategies are correlated via intra-and inter-market risks. Using simple tensor algebra we extend their exact accounting framework to include market risk measurements for n countries. The resulting n^2 x n^2 strategy risk matrix exactly decomposes into a tensor sum of the n x n fundamental market risk matrices. Since the strategy risk matrix is singular with rank = 2n-1
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multinational Financial Management.
Volume (Year): 8 (1998)
Issue (Month): 2-3 (September)
Contact details of provider:
Web page: http://www.elsevier.com/locate/mulfin
Other versions of this item:
- Cornelis A. Los, 2004. "Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries," Finance 0409047, EconWPA.
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- M41 - Business Administration and Business Economics; Marketing; Accounting - - Accounting - - - Accounting
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Cornelis A. Los, 2004. "Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution," Finance 0409038, EconWPA.
- Cornelis A. Los, 2004. "Model Uncertainty, Complexity and Rank in Finance," Econometrics 0411013, EconWPA.
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