Question
Q.9 Summarize the following article (maximum 1 page): Xiong, J.X., Idzorek, T. (2011), The Impact of Skweness and Fat Tails on the Asset Allocation Decision,
Q.9 Summarize the following article (maximum 1 page): Xiong, J.X., Idzorek, T. (2011), The Impact of Skweness and
Fat Tails on the Asset Allocation Decision, Financial Analyst Journal, 67 (2), 23-35.
Q.10 By choosing 2 series of exchange rates S (t) and F (t) over a reasonable number of period and frequency (see book),
perform the regression of carry trades. Do your best to find the data, for example, in Bloomberg.
Explain whether you should be "long" or "short" on the forward for this strategy to be profitable?
Q.11 Define and explain the Seigel paradox.
Q.12 Choose two currencies (e.g. $ / and $ / ) and replicate Exhibit 3.1 using software of your choice (e.g. Excel). To define
and explain each of the concepts you use in this exercise. Test the normality of your series (e.g., JB test).
Explain your results.
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