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  • 标题:The usage of safe haven currencies in mitigating portfolio risk during market turmoil periods
  • 其他标题:Saugaus prieglobsčio valiutų naudojimas mažinant portfelio riziką rinkos neapibrėžtumo laikotarpiais
  • 本地全文:下载
  • 作者:Tamara Mariničevaitė ; Žygimantas Mauricas
  • 期刊名称:Taikomoji Ekonomika: Sisteminiai Tyrimai
  • 印刷版ISSN:1822-7996
  • 电子版ISSN:2335-8742
  • 出版年度:2017
  • 卷号:11
  • 期号:1
  • 页码:145-163
  • DOI:10.7220/AESR.2335.8742.2017.11.1.9
  • 出版社:Vytautas Magnus University
  • 摘要:Paper examines the capability of currencies to reduce portfolio risk during market turmoil periods by comparing the effect of active and naïve portfolio management strategies. Naïve strategy outperforms active in all cases, while diversification to CAD and GBP produce the lowest value at risk (VaR) and expected shortfall (ES).
  • 关键词:safe-haven currencies; portfolio diversification; market turmoil; conditional correlations; VIX index.
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