Computing currency invariant indices with an application to minimum variance currency baskets
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- Hali J. Edison, 1986. "Is the ECU an optimal currency basket?," International Finance Discussion Papers 282, Board of Governors of the Federal Reserve System (U.S.).
- Rustem, Berc, 1995. "Computing optimal multi-currency mean-variance portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 901-908.
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