投資人應運用動態調整法，設定一個可以承擔的風險值，毎隔一段時間調整部位將風險限制在投資人願意承擔的範圍。 This article regards a foreign exchange portfolio with six currencies against US Dollar as the research object. We apply the Exponential Weighted Moving average（EMWA）approach to compute the portfolio’s VaR, then calculate the individual and incremental VaR of each currency. By using the incremental and individual VaR, we investigate how to adjust the currency position to find the portfolio’s VaR most effectively. The evidence shows that：1.By cutting the greatest individual VaR position will reduce the portfolio VaR more effectively 2. The incremental VaR is negative would reduce the portfolio’s VaR with hedge effect. Investors can apply the dynamic adjustment approach and set an acceptable limit of VaR to modify the currency position to control the risk within the limit for the investment horizon.
