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A Framework for the Active Management of a Global Currency Fund

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  • Júnior, Antonio Marcos Duarte

Abstract

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.

Suggested Citation

  • Júnior, Antonio Marcos Duarte, 1997. "A Framework for the Active Management of a Global Currency Fund," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 17(2), November.
    • Handle: RePEc:sbe:breart:v:17:y:1997:i:2:a:2864
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    Cited by:

    1. Duarte Jr, A. M., 2000. "Fast Computation of Efficient Portfolios," Finance Lab Working Papers flwp_32, Finance Lab, Insper Instituto de Ensino e Pesquisa.

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