Portfolio Optimalization on Digital Currency Market

Common Currency, Common Market?

Does the common currency promote goods market integration within the EMU? We argue that such an effect is likely, but that the mechanism typically proposed – lover costs of arbitrage because of increased price transparency – is likely to be of minor importance. Instead we sketch a duopoly model which stresses that lover possibility of future real exchange rate variability lowers the option valu...

Founding Digital Currency on Imprecise Commodity

Current digital currency schemes provide instantaneous exchange on precise commodity, in which ”precise” means a buyer can possibly verify the function of the commodity without error. However, imprecise commodities, e.g. statistical data, with error existing are abundant in digital world. Existing digital currency schemes do not offer a mechanism to help the buyer for payment decision on precis...

Advanced Map Optimalization Based on Eye-Tracking

Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice

The paper compares three portfolio optimization models. Modern portfolio theory (MPT) is a short-horizon volatility model. The relevant time horizon is the sampling interval. MPT is myopic and implies that investors are not concerned with long-term variance or mean-reversion. Intertemporal portfolio choice is a multiple period model that revises portfolios continuously in response to relevant s...

Conditional Currency Hedging and Asset Market Shocks

How investors should hedge the currency risk component of their international stock portfolios is the subject of much debate. In this paper, we add to the existing literature in a number of ways. First, we focus on conditional portfolio and hedging decisions by using a recursive vector autoregression model to identify a shock arising in the money, equity or currency markets. We treat all of the...