Table 3 Performance results of CTP solutions (RN and RA) versus S1, when \(\left( {\pi_{u} , \pi_{d} } \right) = \left( {1.25\% , 3.75\% } \right)\)
From: Foreign exchange trading and management with the stochastic dual dynamic programming method
Currency | Policy | Mean | Median | \(VaR_{1\% }\) | \(CVaR_{1\% }\) |
|---|---|---|---|---|---|
USDCLP \(S_{0} = 800.0\) | RN1 | 7.1 (0.9) | 6.2 | 3.6 | 4.8 (0.6) |
RA0.5 | 6.2 (0.8) | 4.7 | 0.7 | 1.2 (0.1) | |
S1 | 9.6 (1.2) | 7.8 | â 3.3 | â 3.0 (â 0.4) | |
USDBRL \(S_{0} = 5.5\) | RN1 | 0.0816 (1.5) | 0.0677 | 0.0489 | 0.0604 (1.1) |
RA0.5 | 0.0723 (1.3) | 0.0497 | 0.0128 | 0.0204 (0.4) | |
S1 | 0.1115 (2.0) | 0.0883 | â 0.0361 | â 0.0331 (â 0.6) | |
USDTRY \(S_{0} = 10.0\) | RN1 | 0.1730 (1.7) | 0.045 | 0.2612 | 0.3581 (3.6) |
RA0.5 | 0.0148 (0.1) | 0.0004 | 0.1259 | 0.2657 (2.7) | |
S1 | 0.2877 (2.9) | 0.2398 | â 0.0253 | â 0.0231 (â 0.2) | |
AUDUSD \(S_{0} = 0.7\) | RN1 | 0.0076 (1.1) | 0.0055 | 0.0046 | 0.0057 (0.8) |
RA0.5 | 0.0068 (1.0) | 0.0039 | 0.0022 | 0.0036 (0.5) | |
S1 | 0.0109 (1.6) | 0.0082 | â 0.0032 | â 0.0029 (â 0.4) | |
GBPUSD \(S_{0} = 1.0\) | RN1 | 0.0077 (0.8) | 0.0062 | 0.0044 | 0.0054 (0.5) |
RA0.5 | 0.0069 (0.7) | 0.0045 | 0.0015 | 0.0024 (0.2) | |
S1 | 0.0108 (1.1) | 0.0085 | â 0.0035 | â 0.0032 (â 0.3) | |
EURUSD \(S_{0} = 1.5\) | RN1 | 0.0098 (0.7) | 0.0083 | 0.0036 | 0.0045 (0.3) |
RA0.5 | 0.0092 (0.6) | 0.0076 | 0.0015 | 0.0023 (0.2) | |
S1 | 0.0124 (0.8) | 0.0101 | â 0.0032 | â 0.0029 (â 0.2) | |
USDJPY \(S_{0} = 105.0\) | RN1 | 0.8 (0.8) | 0.6 | 0.2 | 0.2 (0.2) |
RA0.5 | 0.8 (0.8) | 0.6 | 0.1 | 0.1 (0.1) | |
S1 | 1.0 (0.9) | 0.8 | â 0.2 | â 0.1 (â 0.1) |