Skip to Main Content
Sign In

Currency Carry Trade Portfolios and their Sensitivity to Interest Rates

Reference

Reichenecker, J. A. (2014). Currency Carry Trade Portfolios and their Sensitivity to Interest Rates.

Publication Type

Working Paper

Staff Members

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

Participating Institutions

Institute for Financial Services Chair in Business Administration, Banking and Financial Management

Research

Enhanced Carry Trades - A new Approach in Asset Management and Trading
PhD-Thesis
February 2014 until February 2018 (finished)
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 ... More

DOI

https://dx.doi.org/10.2139/ssrn.2517467