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Dynamic allocations for currency futures under switching regimes signals

Listed author(s):
  • Reus, Lorenzo
  • Mulvey, John M.
Registered author(s):

    Over the last decades, speculative investors in the FX market have profited in the well known currency carry trade strategy (CT). However, during currencies or global financial crashes, CT produces substantial losses. In this work we present a methodology that enhances CT performance significantly. For our final strategy, constructed backtests show that the mean-semivolatility ratio can be more than doubled with respect to benchmark CT.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0377221716300613
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    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 253 (2016)
    Issue (Month): 1 ()
    Pages: 85-93

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    Handle: RePEc:eee:ejores:v:253:y:2016:i:1:p:85-93
    DOI: 10.1016/j.ejor.2016.02.024
    Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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