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Dynamic Optimization for Equity and Dollar Asset: The Case of Japan
Graduate School of Economics, Chuo University, Tokyo, Japan
- 1 Graduate School of Economics, Chuo University, Tokyo, Japan
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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.
KeywordsMGARCHNikkei 225Optimal Portfolio WeightYen-Dollar Rate
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