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A Framework for the Active Management of a Global Currency Fund

Brazilian Review of Econometrics

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Title A Framework for the Active Management of a Global Currency Fund
A Framework for the Active Management of a Global Currency Fund
 
Creator Júnior, Antonio Marcos Duarte; Banco Pactual S.A., Rio de Janeiro, Brasil.
 
Subject Downside risk; foreign exchange; portfolio management; scenario analysis.
C15; C61; F31; G11
Downside risk; foreign exchange; portfolio management; scenario analysis.
C15; C61; F31; G11
 
Description We consider the problem of optimally managing an investment fund by taking positions in spot and derivatives foreign exchange markets. The framework proposed combines scenario analysis and downside risk to provide an optimization model more realistic and conceptually superior when compared to previous currency works based on the Markowitz's Mean-Variance framework. A historical simulation covering three years, and involving eleven currencies, is presented to illustrate the potential of the framework. Extensions to cover multiperiod investment analysis are also discussed.
Consideramos o problema de administrar um fundo de investimentos no mercado de câmbio mundial. A nossa proposta combina análise de cenários e medidas assimétricas de risco de forma a obter um modelo de otimização mais realista e conceitualmente superior quando comparado a trabalhos anteriores que se basearam na análise Média-Variância de Markowitz. Uma simulação histórica cobrindo três anos, e envolvenda onze moedas, é apresentada para ilustrar o potencial da metadologia. Extensões para investimentos multi-período são fornecidas também.
 
Publisher Sociedade Brasileira de Econometria
 
Date 1997-11-02
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2864
10.12660/bre.v17n21997.2864
 
Source Brazilian Review of Econometrics; Vol 17, No 2 (1997); 1-19
Brazilian Review of Econometrics; Vol 17, No 2 (1997); 1-19
1980-2447
 
Language eng
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2864/1781