Kroencke, Tim Alexander; Schindler, Felix; Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2011
This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits can be achieved by style investing in FX markets...