Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries

Cornelis Los

Finance from University Library of Munich, Germany

Abstract: Singer and Karnosky's (1995) exact and complete return attribution framework does not account for risk, since it ignores accumulated historical information. Its implied investment strategy selection is based on simple return maximization and ignores that investment strategies are correlated via intra-and inter-market risks. Using simple tensor algebra we extend their exact accounting framework to include market risk measurements for n countries. The resulting n^2 x n^2 strategy risk matrix exactly decomposes into a tensor sum of the n x n fundamental market risk matrices. Since the strategy risk matrix is singular with rank = 2n-1

JEL-codes: C61 G11 G13 G15 M41 (search for similar items in EconPapers)
Date: 2004-09-18
New Economics Papers: this item is included in nep-cfn, nep-cmp and nep-ifn
Note: Type of Document - pdf. Los, Cornelis A., 'Optimal Multi- Currency Investment Strategies with Exact Attribution in Three Asian Countries' (January 1998). Centre for Research in Financial Services WP #98-01.
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Journal Article: Optimal multi-currency investment strategies with exact attribution in three Asian countries (1998)
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