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

DOI10.1002/for.2505zbMath1414.91327OpenAlexW3124504548MaRDI QIDQ5379282

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

Publication date: 28 May 2019

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2505

zbMATH Keywords

portfolio optimization covariance regression covariance forecasting currency carry trade generalized multifactor model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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