Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades
Year of publication: |
2015
|
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Authors: | Ames, Matthew |
Other Persons: | Bagnarosa, Guillaume (contributor) ; Peters, Gareth (contributor) ; Shevchenko, Pavel V. (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Prognose | Forecast | Kapitaleinkommen | Capital income | Devisenmarkt | Foreign exchange market |
Extent: | 1 Online-Ressource (25 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 4, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2699020 [DOI] |
Classification: | C1 - Econometric and Statistical Methods: General ; C5 - Econometric Modeling ; F31 - Foreign Exchange ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
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