Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Keyphrases

• At-risk 100%
• Conditional Value 100%
• Foreign Currency 100%
• Currency Portfolio 100%
• Model Uncertainty 33%
• Parameter Uncertainty 33%
• Numerical Optimization 33%
• Bayesian Markov Chain Monte Carlo 33%
• Markov Chain Monte Carlo Algorithm 33%
• Density Forecasts 33%
• Currency Basket 33%
• Downside Risk Management 33%
• Time-varying Conditional Correlations 33%
• Portfolio Performance 33%
• Currency Returns 33%
• Return Density 33%
• Multivariate Stochastic Volatility Models 33%
• Optimal Portfolio Selection 33%

Social Sciences

• Value at Risk 100%
• Stochastics 33%
• Risk Management 33%
• Volatility 33%
• Emerging Market 33%
• Portfolio Choice 33%
• Markov Chain Monte Carlo 33%

Economics, Econometrics and Finance

• Portfolio Choice 50%