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 InfoPaper provided by EconWPA in its series Finance with number 0409047.
Date of creation: 18 Sep 2004
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Note: Type of Document - pdf. Los, Cornelis A., 'Optimal Multi- Currency Investment Strategies with Exact Attribution in Three Asian Countries' (January 1998). Centre for Research in Financial Services WP #98-01.
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Other versions of this item:
- Los, Cornelis A., 1998. "Optimal multi-currency investment strategies with exact attribution in three Asian countries," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 169-198, September.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-09-30 (All new papers)
- NEP-CFN-2004-09-30 (Corporate Finance)
- NEP-CMP-2004-09-30 (Computational Economics)
- NEP-IFN-2004-09-30 (International Finance)
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