The usage of safe haven currenciesin mitigating portfolio risk during market turmoil periods

Tamara Mariničevaitė, Žygimantas Mauricas

Abstract


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).


Keywords


Safe-haven currencies; portfolio diversification; market turmoil; conditional correlations; VIX index

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DOI: http://dx.doi.org/10.7220/AESR.2335.8742.2017.11.1.9

ISSN 1822-7996 (Print)

ISSN 2335-8742 (Online)