Dynamic Optimization for Equity and Dollar Asset: The Case of Japan
Chikashi Tsuji
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.
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.