Implementing risk appetite in the management of currency portfolios

Jinhui Luo (), Philip Saks and Steve Satchell
Additional contact information
Jinhui Luo: Old Mutual Asset Management (UK) Ltd.

Journal of Asset Management, 2009, vol. 9, issue 6, No 3, 380-397

Abstract: Abstract This paper investigates the concept of risk appetite. A number of methodologies for building a risk appetite index are proposed. It is shown how this index can be utilised to improve portfolio construction in currency markets. Portfolios are constructed using quadratic optimisation. Different strategies, in particular Carry, Value and Momentum, are combined via our optimisation procedure, leading to return outcomes that possess certain desirable properties relative to an equally weighted benchmark.

Keywords: currency; portfolio construction; risk appetite; optimisation (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1057/jam.2008.40 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:9:y:2009:i:6:d:10.1057_jam.2008.40

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/jam.2008.40

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().