Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries
Singer 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
|Date of creation:||18 Sep 2004|
|Date of revision:|
|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.|
|Contact details of provider:|| Web page: http://184.108.40.206|
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.:
- Eun, Cheol S & Resnick, Bruce G, 1988. " Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection," Journal of Finance, American Finance Association, vol. 43(1), pages 197-215, March.
- Chapman, D.A., 1996.
"Approximating the Asset Pricing Kernel,"
96-02, Rochester, Business - Financial Research and Policy Studies.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- Glen, Jack & Jorion, Philippe, 1993. " Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-86, December.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0409047. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.