Computing currency invariant indices with an application to minimum variance currency baskets

DOI10.1016/S0165-1889(02)00087-8zbMath1200.91253OpenAlexW3123633321WikidataQ125895019 ScholiaQ125895019MaRDI QIDQ953658

Mikhail V. Sokolov, Nikolai V. Hovanov, James W. Kolari

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00087-8

zbMATH Keywords

minimal varianceinternational financecurrency basketcurrency indexnumeraireworld money

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Actuarial science and mathematical finance (91G99)

Related Items (3)

A stable aggregate currency revisited: highlighting some fundamental issues ⋮ Deriving weights from general pairwise comparison matrices ⋮ Comment on Hovanov, Kolari and Sokolov: a stable currency numeraire?

Cites Work

• Computing optimal multi-currency mean-variance portfolios
• Convergent sequences of regular measures
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