Optimal currency portfolio with implied return distribution in the mean-variance approach

DOI10.1007/s10690-023-09414-xzbMath1542.91359MaRDI QIDQ6563715

Yuta Hibiki, Takuya Kiriu, Norio Hibiki

Publication date: 27 June 2024

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationmean-variance approachrecovery theoremcurrency portfolio

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Optimal stochastic control (93E20) Portfolio theory (91G10)

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