Hedging with an Edge: Parametric Currency Overlay

Reference

Barroso, P., Menichetti, M., & Reichenecker, J.-A. (2017). Hedging with an Edge: Parametric Currency Overlay. Presented at the 30th Australasian Finance and Banking Conference 2017, Sydney.

Publication Type

Presentation at Scholarly Conference

Staff Members

Prof. em. Dr. Marco J. Menichetti

Professor Emeritus - Liechtenstein Business School

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

DOI

https://dx.doi.org/10.2139/ssrn.3020981