Reassessing Sources of Risk Premiums in Currency Markets

We show that a small set of emerging markets with floating exchange rates expand the investment frontier substantially relative to G10 currencies. The frontier is characterized by an out-of-sample mean-variance efficient portfolio that prices G10- and emerging markets-based trading strategies

本研究表明，相较于G10货币(G10 currencies)，纳入一小批实行浮动汇率制度的新兴市场货币，能够大幅拓展投资前沿。该投资前沿以样本外(out-of-sample)均值-方差有效投资组合(mean-variance efficient portfolio)为特征，该组合可对基于G10货币及新兴市场的交易策略进行定价。