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.

中文翻译：

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评估由采矿协会规则构建的货币投资组合的效率

摘要我们提出了一种新的投资组合，即关联货币投资组合（ACP），该组合是根据采矿关联规则的建议构建的，旨在提高均值方差效率。我们使用15个国家/地区的汇率以新台币为单位，对货币投资组合的效率进行了经验分析。我们的发现表明，ACP的表现优于由Pearson相关模型构建的其他投资组合。采矿协会规则对于为国际投资者推荐候选货币很有用，以帮助他们建立有效的投资组合。