Diversification Effect of Naive and Optimized Carry Trades

Reference

Reichenecker, J. A. (2015). Diversification Effect of Naive and Optimized Carry Trades. Presented at the 28th Australasian Finance and Banking Conference, Sydney, Australia.

Publication Type

Presentation at Scholarly Conference

Staff Members

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

Participating Institutions

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