14330 28 75641 4 211979 document 75641 CurrencyPortfolios.pdf application/pdf 94dc5ddf3e9886cd52607ec6d4386471 MD5 823018 2017-03-23 09:36:12 https://pure.iiasa.ac.at/id/eprint/14330/1/CurrencyPortfolios.pdf 14330 1 1 application/pdf text en public cc_by

CurrencyPortfolios.pdf

published 75643 1 208637 document 75643 indexcodes.txt text/x-c++ 5d75bbf1eeeb113fbd0bd5108c017a25 MD5 1930 2017-01-25 10:01:43 https://pure.iiasa.ac.at/id/eprint/14330/2/indexcodes.txt 14330 2 2 text/x-c++ other Generate index codes conversion from text to indexcodes en public

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/75641 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/75641 http://eprints.org/relation/issmallThumbnailVersionOf https://pure.iiasa.ac.at/id/document/75641 archive 5 disk0/00/01/43/30 2017-01-25 09:59:11 2021-08-27 17:41:48 2017-03-14 13:18:16 other show 1 Crespo Cuaresma J. 1838 Fortin I. Hlouskova J. 2112 pub prog_esm currency portfolios, exchange rate forecasting, trading strategies, profitability IHS Economics Series, Working Paper No.326 Funder: Oesterreichische Nationalbank (Anniversary Fund, Grant No. 16250) We examine the potential gains of using exchange rate forecast models and forecast combination methods in the management of currency portfolios for three exchange rates, the euro (EUR) versus the US dollar (USD), the British pound (GBP) and the Japanese yen (JPY). We use a battery of econometric specifications to evaluate whether optimal currency portfolios implied by trading strategies based on exchange rate forecasts outperform single-currency and the equally weighted portfolio. We assess the differences in profitability of optimal currency portfolios for different types of investor preferences, different trading strategies, different composite forecasts and different forecast horizons. Our results indicate that the benefits of integrating exchange rate forecasts from state-of-the-art econometric models in currency portfolios are sensitive to the trading strategy under consideration and vary strongly across prediction horizons. 2017-01-25 published IHS Vienna http://irihs.ihs.ac.at/id/eprint/4175 58 125 public IHS Economics Series 326 Austria 64 Institute for Advanced Studies (IHS) Department of Economics and Finance TRUE FALSE info:eu-repo/semantics/other