Many portfolio managers use options in their investment strategy, yet the issue of performance measurement for such portfolios remains unresolved. This study examines the nature of risk for option affected portfolios and identifies appropriate risk measures for them. We find that the main issue...

Various risk estimation methods have been proposed in response to evidence that risk is changing. We investigate the effect of alternative risk-estimation methods in the context of asset-allocation decisions that seek to minimize portfolio risk. The risk measures considered include the...

Since the floating of the Australian dollar the forecasting of exchange rate movements has become more difficult and received much more attention. As a result, some participants in the foreign exchange market have, on a number of occasions, come under criticism for their inability to predict...

The two recently developed Australian indexes of leading indicators have received much attention in the press. Despite this, relatively little is known about their usefulness in forecasting the associated indexes of coincident indicators (i.e., measures of the business cycle) or any activity...

The New Classical macroeconomic models seek to explain observed cyclical fluctuations in real activity by agents’ reactions to nominal demand disturbances, about which they have incomplete information. While these models are driven by incomplete information about stochastic shocks, it is...

Much has been written about the choice of exchange rate regimes from a theoretical perspective. A conclusion of this literature is that, ceteris paribus, interest rates should exhibit less volatility (and exchange rates more volatility) under a floating than under a fixed exchange rate regime....

Recently there have been a growing number of studies of the “money announcement” phenomenon. Towards the end of the week, the U.S. Federal Reserve Board announces its estimates of the narrowly defined monetary aggregate for the statement week ending some eight to ten days previously. The...

Vector autoregressions (VARs) have been proposed as good forecasting models of macroeconomic variables. This paper presents three naive VAR models of the Australian economy estimated on quarterly data for fifteen variables to 1985(4). Their performance in “forecasting” the calendar and...

Many of the continous time Ito process models of international asset demand deal with the simplest case of geometric Brownian motion processes for asset prices and exchange rates. Following the single country models, these international models yield restrictions on the moments of the price...

Since the floating of the Australian dollar the forecasting of exchange rate movements has become more difficult and received much more attention. As a result, some participants in the foreign exchange market have, on a number of occasions, come under criticism for their inability to predict...