This paper explores the financial risk that trading strategies seeking to exploit a violation of the UIP condition are exposed to with respect to multivariate tail dependence present in both the funding and investment currency baskets. It will outline in what contexts these portfolio risk exposures ...
¿Market’s reaction to this event? Sovereign risk fell -1.3%, S&P Merval Index rose 1.9% and USD/ARS went up 1,1%. Of course, the FX market got volatile and would probably continue so until the primary election. Portfolio decisions have to be taken, and big moves easily shake ...
they provide a much more diversified portfolio than the MV strategy, which obviously allocates most of the weights to stablecoins due to their lower intrinsic volatility. The risk minimization in a broad sense proposed by the MV strategy is not always suitable for investors, as it constrains not...
Received: 16 June 2022 Accepted: 13 April 2023 References Alexeev V, Urga G, Yao W (2019) Asymmetric jump beta estimation with implications for portfolio risk management. Int Rev Econ Financ 62:20–40 Aliber RZ (1973) The interest rate parity theorem: a reinterpretation. J Polit Econ 81(6...
The reason why I find this note attractive is because the final coupon payment is 9%. My target return for my Citi after-tax investment portfolio was 2-4X the risk free rate (6 – 10% a year) with relatively low risk given the portfolio size is relatively large. ...