Portfolio of Carry Trade Using Indian Rupees

Jyoti Ranjana and Parama Barai

Global Business Review, 2025, vol. 26, issue 2, 520-537

Abstract: In this study, we have considered the portfolio of carry trade along with bond and equity. The interior point method and non-dominated sorting genetic algorithm II have been used for optimization. The criteria for the portfolio are the weighted sum of risk and return, utility maximization, diversification ratio and Rao’s quadratic entropy. We find that the interior point method with weighted sum of risk and return gives the best result.

Keywords: Portfolio of carry trade; NSGAII; interior point method; diversification ratio; RQE (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:sae:globus:v:26:y:2025:i:2:p:520-537

DOI: 10.1177/0972150921999891

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