A Framework for the Active Management of a Global Currency Fund

@inproceedings{Duarte2010AFF,
  title={A Framework for the Active Management of a Global Currency Fund},
  author={Antonio Marcos Duarte},
  year={2010}
}
We consider the problem of optimally managing an investment fund by tak­ ing positions in spot and derivatives foreign exchange markets. The framework proposed combines scenario analysis and downside risk to provide an optimiza­ tion model more realistic and conceptually superior when compared to previous currency works based on the Markowitz's Mean-Variance framework. A histori­ cal simulation covering three years, and involving eleven currencies, is presented to illustrate the potential of… CONTINUE READING