Retaining alpha : the effect of trade size and rebalancing frequency on FX strategy returns
Year of publication: |
2020
|
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Authors: | Melvin, Michael ; Pan, Wenqiang ; Wikstrom, Petra |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 51.2020, p. 1-14
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Subject: | Transaction costs | FX microstructure | Exchange rates | Portfolio construction | Portfolio-Management | Portfolio selection | Transaktionskosten | Wechselkurs | Exchange rate | Marktmikrostruktur | Market microstructure | Kapitaleinkommen | Capital income | Devisenmarkt | Foreign exchange market |
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Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns
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