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dc.contributor.authorMercurio, Daniloen
dc.contributor.authorTorricelli, Costanzaen
dc.date.accessioned2012-09-18T13:45:16Z-
dc.date.available2012-09-18T13:45:16Z-
dc.date.issued2001-
dc.identifier.piurn:nbn:de:kobv:11-10049772en
dc.identifier.urihttp://hdl.handle.net/10419/62693-
dc.description.abstractThis paper analyzes short term portfolio investment opportunities in a capital market where a currency is defined as a currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine a self-financed optimal investment strategy which minimizes an expected quadratic cost function. In order to implement such a strategy an estimate of the basket weights is required. To this end we suggest an adaptive nonparametric procedure, which, if compared with standard procedures, provides very satisfactory results both on simulated and real data. We apply the optimal investment strategy to the case of the Thai Bath basket. The basket weights are computed with the adaptive estimator. We also implement a recursive estimator, a rolling estimator and the Ka1man filter which serve as benchmark models. The different estimators are compared with profit based criteria.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2001,37en
dc.subject.jelC53en
dc.subject.jelF37en
dc.subject.ddc330en
dc.subject.keywordexchange ratesen
dc.subject.keywordmean-variance hedgingen
dc.subject.keywordadaptive estimationen
dc.titleEstimation and arbitrage opportunities for exchange rate baskets-
dc.typeWorking Paperen
dc.identifier.ppn724896384en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200137en

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