The usage of safe haven currenciesin mitigating portfolio risk during market turmoil periods
Paper examines the capability of currencies to reduce portfolio risk during market turmoil periods by comparÂing the effect of active and naÃ¯ve portfolio management strategies. NaÃ¯ve strategy outperforms active in all casÂes, while diversification to CAD and GBP produce the lowest value at risk (VaR) and expected shortfall (ES).
ISSN 1822-7996 (Print)
ISSN 2335-8742 (Online)