Journal of Asset Management

, Volume 9, Issue 6, pp 380–397

Implementing risk appetite in the management of currency portfolios

Original Article

DOI: 10.1057/jam.2008.40

Cite this article as:
Luo, J., Saks, P. & Satchell, S. J Asset Manag (2009) 9: 380. doi:10.1057/jam.2008.40

Abstract

This paper investigates the concept of risk appetite. A number of methodologies for building a risk appetite index are proposed. It is shown how this index can be utilised to improve portfolio construction in currency markets. Portfolios are constructed using quadratic optimisation. Different strategies, in particular Carry, Value and Momentum, are combined via our optimisation procedure, leading to return outcomes that possess certain desirable properties relative to an equally weighted benchmark.

Keywords

currency portfolio construction risk appetite optimisation 

Copyright information

© Palgrave Macmillan 2009

Authors and Affiliations

  1. 1.Old Mutual Asset Management (UK) Ltd.LondonUK

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