Cargando…
Optimal carry trade portfolio choice under regime shifts
This paper studies optimal currency allocation of the carry trade in foreign exchange (FX). A number of empirical studies have documented a phenomenon referred to as the ‘forward premium puzzle’, which states that the carry trade is profitable on average. However, the carry reversal during the 2008...
| Autores principales: | , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8900647/ http://dx.doi.org/10.1007/s11156-022-01047-x |