The Usage of Safe Haven Currencies in Mitigating Portfolio Risk during Market Turmoil Periods
The Usage of Safe Haven Currencies in Mitigating Portfolio Risk during Market Turmoil Periods
Author(s): Tamara Mariničevaitė, Žygimantas MauricasSubject(s): Economy
Published by: Vytauto Didžiojo Universitetas
Keywords: Safe-haven currencies; Portfolio diversification; Market turmoil; Conditional correlations; VIX index;
Summary/Abstract: Paper examines the capability of currencies to reduce portfolio risk during market turmoil periods by comparing the effect of active and naïve portfolio management strategies. Naïve strategy outperforms active in all cases, while diversification to CAD and GBP produce the lowest value at risk (VaR) and expected shortfall (ES).
Journal: Taikomoji ekonomika: sisteminiai tyrimai
- Issue Year: 11/2017
- Issue No: 1
- Page Range: 145-163
- Page Count: 19
- Language: English