Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades

Matthew Ames*, Guillaume Bagnarosa, Gareth W. Peters, Pavel V. Shevchenko

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)
162 Downloads (Pure)

Fingerprint

Dive into the research topics of 'Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades'. Together they form a unique fingerprint.

Computer Science

INIS

Economics, Econometrics and Finance