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Hedging with an Edge: Parametric Currency Overlay

Reference

Barroso, P., Reichenecker, J.-A., & Menichetti, M. (2021). Hedging with an Edge: Parametric Currency Overlay. Management Science, 68(1), 669-689.

Publication Type

Article in Scientific Journal

Staff Members

Employee
Prof. em. Dr. Marco J. Menichetti
Professor Emeritus - Liechtenstein Business School
Employee
Dr. rer. oec. Jurij-Andrei Reichenecker MSc UZH ETH LL.M.
Assoc. Prof. Pedro Barroso

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/10.1287/mnsc.2020.3872