Optimal Portfolio of Foreign Currencies with Borrowing and Lending: Comment
评论了Levy关于企业利用外币组合进行现金管理的论文，建议用已知的利率替代基于历史数据的平均利率，并剔除资本利得估计，以改进均值-方差模型在外汇管理中的应用。
In a recent article, Haim Levy noted the importance to the firm of utilizing a portfolio approach to cash management (Optimal Portfolioof Foreign Currencies with Borrowing and Lending, Journal of Money, Credit, and Banking, 13 (August 1981), 325-41). Specifically, he illustrated the potential gain from diversification in foreign currencies. This comment elaborates on his paper by suggesting possible ex ante predictions which a firm might utilize if the mean-variance approach is used. Levy utilizes the mean-variance rule to construct efficiency currency portfolios from sixteen currencies. He acknowledges that past mean holding period returns are unreliable when used as predictions of future returns. We suggest the following alternative. The interest rate for each currency would be known at the time of a cash management decision. Thus, the quoted rate for each currency could be utilized rather than the mean interest rate based on ex post data. As acknowledged by Levy, the mean capital gain based on past data provides little useful information in terms of a future capital gain for any given currency. It surely would not if markets were working efficiently. Thus, his utilization of ex post capital gain returns causes overestimated (underestimated) expected total returns for currencies which have appreciated (depreciated) over the data period used.' Therefore, we should delete Levy's capital gain estimate in deriving the expected holding period return of each currency. This deletion along with our suggested interest rate estimate adjustment would provide an alternative to applying the mean-variance model to cash management decisions.