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- W2890626851 abstract "This paper presents the results of a post-sample simulation of a speculative strategy using a portfolio of foreign currency forward contracts.The main new features of the speculative strategy are (a)the use of Kalman filters to update the forecasting equation, (b) the allowance for transactions,costs and margin requirements and (c) the endogenous determination of the leveraging of the portfolio. While the forecasting model tended to overestimate profit and underestimate risk, the strategy was still profitable over a three year period and it was possible to reject the hypothesis that the sum of profits was zero. Furthermore, the currency portfolio was found to have an extremely low market risk. Combinations of the speculative currency portfolio with traditional portfolios of U.S. equities resulted in considerable improvements in risk-adjusted returns on capital." @default.
- W2890626851 created "2018-09-27" @default.
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- W2890626851 date "1983-09-01" @default.
- W2890626851 modified "2023-09-27" @default.
- W2890626851 title "The Profitability of Currency Speculation" @default.
- W2890626851 hasPublicationYear "1983" @default.
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