Emerging Market Bonds: Expected Returns and Currency Impact
研究了投资组合基准货币如何影响新兴市场债券的优化策略，发现货币未对冲组合更适合欧元投资者，而美元基准货币可消除货币风险；网络和中心性分配方法优于传统模型。
Optimizing in local currency or in currency-adjusted expected returns depends on the portfolio base currency. Currency unhedged portfolios are more suitable for EUR-based investors and much less for CHF-based portfolios. The appreciation of the portfolio base currency represents a serious risk. Emerging market bond portfolios gain from the absence of currency risk when the portfolio base currency is the US dollar. The empirical results reveal that traditional models such as mean-variance optimization (MVO), minimum-variance optimization (MinVo), and Sharpe ratio optimizations are suitable for portfolio allocation, using both local currency and currency-adjusted expected bond returns as inputs in the optimizations. However, network- and centrality-based allocations outperform traditional models.