Exchange rate forecasting and the performance of currency portfolios

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/83629 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/83629 http://eprints.org/relation/issmallThumbnailVersionOf https://pure.iiasa.ac.at/id/document/83629 archive 5 disk0/00/01/51/90 2018-04-05 08:15:53 2021-08-27 17:30:06 2018-04-05 08:15:53 article show Crespo Cuaresma J. 1838 Fortin I. Hlouskova J. 2112 Exchange rate forecasting and the performance of currency portfolios pub prog_pop currency portfolios, exchange rate forecasting, profitability, trading strategies 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 versus the US dollar, the British pound, and the Japanese yen. We use a battery of econometric specifications to evaluate whether optimal currency portfolios implied by trading strategies based on exchange rate forecasts outperform single currencies and the equally weighted portfolio. We assess the differences in profitability of optimal currency portfolios for different types of investor preferences, two trading strategies, mean squared error‐based composite forecasts, and different forecast horizons. Our results indicate that there are clear benefits of integrating exchange rate forecasts from state‐of‐the‐art econometric models in currency portfolios. These benefits vary across investor preferences and prediction horizons but are rather similar across trading strategies. 2018-08 published Wiley 10.1002/for.2518 58 125 public Journal of Forecasting 37 5 519-540 TRUE 0277-6693 FALSE no info:eu-repo/semantics/article