Hedging with an Edge: Parametric Currency Overlay

Referenz

Barroso, P., Menichetti, M., & Reichenecker, J.-A. (2018). Hedging with an Edge: Parametric Currency Overlay. Paper presented at the EFMA European Financial Management Association, Annual Meeting 2018, Milan.

Publikationsart

Beitrag in Konferenztagungsband

Mitarbeitende

Prof. em. Dr. Marco J. Menichetti

Emeritierter Professor - Liechtenstein Business School

Dr. rer. oec. Jurij-Andrei Reichenecker MSc UZH ETH LL.M.

Beteiligte Einrichtungen

Lehrstuhl für Betriebswirtschaftslehre, Bank- und Finanzmanagement Institut für Finance

Forschung

Enhanced Carry Trades - A new Approach in Asset Management and Trading

Dissertation

Februar 2014 bis Februar 2018 (abgeschlossen)

Standard carry trades sell low-yield currencies and buy high-yield currencies. The trading idea is to capture the interest rate differential between currencies. The unique selection criterion of ... Weitere

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