Intra-Daily FX Optimal Portfolio Allocation

Luc Bauwens, Walid Ben Omrane () and Rengifo Erick

No 2006005, Discussion Papers (ECON - Département des Sciences Economiques) from Université catholique de Louvain, Département des Sciences Economiques

Abstract: We design and implement optimal foreign exchange portfolio allocations. An optimal allocation maximizes the expected return subject to a Value-at-Risk (VaR) constraint. Based on intradaily data, the optimization procedure is carried out at regular time intervals. For the estimation of the conditional variance from which the VaR is computed, we use univariate and multivariate GARCH models. The result for each model is given by the best intradaily investment recommendations in terms of the optimal weights of the currencies in the risk portfolio.

Keywords: Optimal portfolio selection; Value-at-risk; GARCH models; Foreign exchange markets (search for similar items in EconPapers)
JEL-codes: C32 C53 G11 (search for similar items in EconPapers)
Pages: 28
Date: 2006-02-01
New Economics Papers: this item is included in nep-cba, nep-fin, nep-fmk, nep-ifn and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Intra-daily FX optimal portfolio allocation (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvec:2006005

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