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Diversification effect of standard and optimized carry trades

Reference

Reichenecker, J. A. (2019). Diversification effect of standard and optimized carry trades. European Journal of Finance, 25(8), 745-761.

Publication Type

Article in Scientific Journal

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

DOI

https://dx.doi.org/10.1080/1351847x.2018.1539023