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Implementing risk appetite in the management of currency portfolios

Author

Listed:
  • Jinhui Luo

    (Old Mutual Asset Management (UK) Ltd.)

  • Philip Saks
  • Steve Satchell

Abstract

This paper investigates the concept of risk appetite. A number of methodologies for building a risk appetite index are proposed. It is shown how this index can be utilised to improve portfolio construction in currency markets. Portfolios are constructed using quadratic optimisation. Different strategies, in particular Carry, Value and Momentum, are combined via our optimisation procedure, leading to return outcomes that possess certain desirable properties relative to an equally weighted benchmark.

Suggested Citation

  • Jinhui Luo & Philip Saks & Steve Satchell, 2009. "Implementing risk appetite in the management of currency portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 9(6), pages 380-397, February.
    • Handle: RePEc:pal:assmgt:v:9:y:2009:i:6:d:10.1057_jam.2008.40
    DOI: 10.1057/jam.2008.40
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    References listed on IDEAS

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    Cited by:

    1. Marc Boissaux & Jang Schiltz, 2010. "An Optimal Control Approach to Portfolio Optimisation with Conditioning Information," LSF Research Working Paper Series 10-09, Luxembourg School of Finance, University of Luxembourg.

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