Dynamic Optimization for Equity and Dollar Asset: The Case of Japan ()
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.
Share and Cite:
Tsuji, C. (2024) Dynamic Optimization for Equity and Dollar Asset: The Case of Japan.
Modern Economy,
15, 385-393. doi:
10.4236/me.2024.154020.
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