Diversification Effect of Naive and Optimized Carry Trades

Reference

Reichenecker, J. A. (2016). Diversification Effect of Naive and Optimized Carry Trades. Presented at the 9th International Accounting & Finance Doctoral Symposium, Glasgow, UK.

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 Institute for Finance

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