Tsuji, Chikashi (2024) Dynamic Optimization for Equity and Dollar Asset: The Case of Japan. Modern Economy, 15 (04). pp. 385-393. ISSN 2152-7245
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Official URL: https://doi.org/10.4236/me.2024.154020
Abstract
This article examines the time-varying optimal portfolio weights for the two assets denominated in Japanese yen—the Nikkei 225 index and the yen-dollar rate—for four different periods from 1973 to 2023. Using a VAR-bivariate GARCH model and an optimization method, we uncover that in the more recent period, higher portfolio weights for the yen-dollar rate—a dollar asset for Japanese investors—were more efficient in constructing the Japanese equity and dollar asset portfolio.
| Item Type: | Article |
|---|---|
| Subjects: | Science Repository > Multidisciplinary |
| Depositing User: | Managing Editor |
| Date Deposited: | 07 May 2024 05:46 |
| Last Modified: | 07 May 2024 05:46 |
| URI: | http://research.manuscritpub.com/id/eprint/4130 |
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