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 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).
ISSN 1822-7996 (Print)
ISSN 2335-8742 (Online)