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Portfolio of Carry Trade Using Indian Rupees

Author

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  • Jyoti Ranjana
  • Parama Barai

Abstract

In this study, we have considered the portfolio of carry trade along with bond and equity. The interior point method and non-dominated sorting genetic algorithm II have been used for optimization. The criteria for the portfolio are the weighted sum of risk and return, utility maximization, diversification ratio and Rao’s quadratic entropy. We find that the interior point method with weighted sum of risk and return gives the best result.

Suggested Citation

  • Jyoti Ranjana & Parama Barai, 2025. "Portfolio of Carry Trade Using Indian Rupees," Global Business Review, International Management Institute, vol. 26(2), pages 520-537, April.
    • Handle: RePEc:sae:globus:v:26:y:2025:i:2:p:520-537
    DOI: 10.1177/0972150921999891
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