Hedging with an edge : parametric currency overlay
Year of publication: |
2022
|
---|---|
Authors: | Barroso, Pedro ; Reichenecker, Jurij-Andrei ; Menichetti, Marco J. |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 68.2022, 1, p. 669-689
|
Subject: | foreign exchange | currency market | currency overlay | hedging | benchmark risk | margin requirements | Hedging | Währungsmanagement | Foreign exchange management | Devisenmarkt | Foreign exchange market | Portfolio-Management | Portfolio selection | Theorie | Theory | Währungsderivat | Currency derivative | Währungsrisiko | Exchange rate risk |
-
Optimal foreign exchange hedge tenor with liquidity risk
Zhang, Rongju, (2021)
-
Managing foreign exchange risk : strategies for global portfolios
DeRosa, David F., (1991)
-
Hedging of exchange rate risk and regression dependence
Broll, Udo, (1997)
- More ...
-
Hedging with an Edge : Parametric Currency Overlay
Barroso, Pedro, (2017)
-
Let the Parametric Phoenix Fly
Barroso, Pedro, (2019)
-
Standard and optimized carry trades
Reichenecker, Jurij-Andrei, (2018)
- More ...