On optimizing risk exposures with trend-following strategies in currency overlay portfolios
Year of publication: |
December 2016
|
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Authors: | Tee, Kaihong |
Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1238, ZDB-ID 2889641-5. - Vol. 6.2016, 1, p. 47-68
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Subject: | currency overlay portfolios | time-varying correlation-generalized autoregressive conditional heteroscedasticity (TVC-GARCH) model | hedging criterion | trend-following strategy | Cholesky decomposition | Theorie | Theory | Portfolio-Management | Portfolio selection | Hedging | ARCH-Modell | ARCH model | Währungsmanagement | Foreign exchange management | Währungsrisiko | Exchange rate risk |
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