Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk

Forecasting Weights and Measuring Risk

Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk
When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk-in terms of the conditional variance of expected profits from the interest rate arbitrage portfolio-appropriately... READ MORE...

Publication date: January 1999
ISBN 9781451843385
$15.00

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