Evaluating the efficiency of currency portfolios constructed by the mining association rules

Abstract

We propose a new portfolio, an association currency portfolio (ACP), constructed by the recommendations of the mining association rules, to strengthen mean-variance efficiency. We empirically analyze the efficiency of currency portfolios using 15 countries' exchange rates denominated by the Taiwanese Dollar. Our findings suggest that the ACPs outperform other portfolios constructed by the Pearson's correlation model. The mining association rule is useful for recommending candidate currencies for international investors, to help them establish efficient portfolios.