Evaluating the efficiency of currency portfolios constructed by the mining association rules
By Cheng-Po Lai, Jin-Ray Lu. 2018
6 citations recorded by the source corpus.
Abstract We propose a new portfolio, an association currency portfolio (ACP), constructed by the recommendations of the mining association rules, to strengthen mean-variance efficiency. We empirically analyze the efficiency of currency portfolios using 15 countries' exchange rates denominated by the Taiwanese Dollar. Our findings suggest that the ACPs outperform other portfolios constructed by the Pearson's correlation model. The mining association rule is useful for recommending candidate currencies for international investors, to help them establish efficient portfolios.
Subfields: Economics and Econometrics, Finance, Information Systems
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
In Finance
In Information Systems
Citations in the corpus
- Black-Box vs. White-Box: Understanding Their Advantages and Weaknesses From a Practical Point of View (2019, methodology): “Rule-based algorithms have widely been applied to different practical contexts, such as software defect prediction [123], inferring causal gene regulatory networks [124], evaluating the efficiency of currency portfolios [125], ranking of text documents [126], relationship between student engagement ”