Optimal and Naive Diversification in Currency Markets
Published Online:15 Aug 2016https://doi.org/10.1287/mnsc.2016.2497
References
- Bank for International Settlements (2010) Foreign exchange and derivatives market activity in April 2010. Triennial Central Bank Survey, BIS, Basel, Switzerland.Google Scholar
- (2015) Beyond the carry trade: Optimal currency portfolios. J. Financial Quant. Anal. 50(5):1037–1056.Crossref, Google Scholar
- (2001) Optimal portfolios and foreign currencies. J. Portfolio Management 28(1):102–111.Crossref, Google Scholar
- (1992) Global portfolio optimization. Financial Analysts J. 48(5):28–43.Crossref, Google Scholar
- (2009) Carry trades and currency crashes. NBER Macroecon. Annual 23:313–347.Crossref, Google Scholar
- (2011) Do peso problems explain the returns to the carry trade. Rev. Financial Stud. 24(3):853–891.Crossref, Google Scholar
- (2011) The effect of errors in means, variances, and covariances on optimal portfolio choice. MacLean LC, Thorp EO, Ziemba WT, eds. The Kelly Capital Growth Investment Criterion: Theory and Practice, Vol. 3 (World Scientific Publishing, Singapore), 249–257.Crossref, Google Scholar
- (2011) The time-varying systematic risk of carry trade strategies. J. Financial Quant. Anal. 46(4):1107–1125.Crossref, Google Scholar
- (2009) Currency carry trade regimes: Beyond the fama regression. J. Internat. Money Finance 28(8):1375–1389.Crossref, Google Scholar
- (2016) The carry trade: Risks and drawdowns. Working paper, Columbia Business School, New York.Google Scholar
- (2009) An economic evaluation of empirical exchange rate models. Rev. Financial Stud. 22(9):3491–3530.Crossref, Google Scholar
- (2009) Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy? Rev. Financial Stud. 22(5):1915–1953.Crossref, Google Scholar
- (1984) Forward and spot exchange rates. J. Monetary Econom. 14(3):319–338.Crossref, Google Scholar
- (2009) Crash risk in currency markets. Technical report, National Bureau of Economic Research, Cambridge, MA.Google Scholar
- (2014) Crash-neutral currency carry trades. J. Financial Econom. 113(3):325–347.Crossref, Google Scholar
- (2014) Option-implied currency risk premia. Available at http://ssrn.com/abstract=2338585.Google Scholar
- (2007) Optimal portfolio choice with parameter uncertainty. J. Financial Quant. Anal. 42(3):621–656.Crossref, Google Scholar
- (1985) The pricing of forward contracts for foreign exchange. J. Political Econom. 93(2):346–368.Crossref, Google Scholar
- (2008) Robust performance hypothesis testing with the sharpe ratio. J. Empirical Finance 15(5):850–859.Crossref, Google Scholar
- (2011) Common risk factors in currency markets. Rev. Financial Stud. 24(11):3731–3777.Crossref, Google Scholar
- (1983) Empirical exchange rate models of the seventies: Do they fit out of sample? J. Internat. Econom. 14(1–2):3–24.Crossref, Google Scholar
- (2012) Carry trades and global foreign exchange volatility. J. Finance 67(2):681–718.Crossref, Google Scholar
- (1989) The markowitz optimization enigma: Is “optimized” optimal? Financial Analysts J. 45(1):31–42.Crossref, Google Scholar
- (2008) The relative merits of alternative investments in passive portfolios. J. Alternative Investments 10(4):37–49.Crossref, Google Scholar
- (2003) Forecasting volatility in financial markets: A review. J. Econom. Literature 41(2):478–539.Crossref, Google Scholar
- (2013) Exchange rate predictability. J. Econom. Literature 51(4):1063–1119.Crossref, Google Scholar
- (1979) Testing for rational expectations in foreign exchange markets. International Finance Discussion Papers 139, Board of Governors of the Federal Reserve System, Washington, DC.Google Scholar
- (2012) The share of systematic variation in bilateral exchange rates. Available at http://ssrn.com/abstract=2121859.Google Scholar

