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Yin, J., & Wong, H. Y. (2023). Bond Portfolio Optimization with Long-Range Dependent Credits. Journal of Industrial and Management Optimization, 19, 7090-7104.
https://doi.org/10.3934/jimo.2022253

has been cited by the following article:

• TITLE: Dynamic Optimization for Equity and Dollar Asset: The Case of Japan

  AUTHORS: Chikashi Tsuji

  KEYWORDS: MGARCH, Nikkei 225, Optimal Portfolio Weight, Yen-Dollar Rate

  JOURNAL NAME: Modern Economy, Vol.15 No.4, April 30, 2024

  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.