A Portfolio Optimization Between US Dollar Index and Some Asian Currencies with a Copula-EGARCH Approach

摘要

There is a strong correlation between the value of the US dollar and the Asian currencies. EGARCH-copula model, with the skewed student-t distribution and the skewed general error distribution, can be used to capture the dependence correlation between US dollar and an Asian currency from those seven currencies in this paper. Building a bivariate portfolio based on the fitted EGARCH-copula models can be used to make portfolio optimization with the methods of max return, min risk and max sharpe ratio, to obtain a positive and reasonable return.