Hedging with an Edge: Parametric Currency Overlay

Reference

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.

Publication Type

Paper in Conference Proceedings

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

Original Source