Dynamic allocations for currency futures under switching regimes signals
Lorenzo Reus, John M. Mulvey
| Year of publication: |
16 August 2016
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| Authors: | Reus, Lorenzo ; Mulvey, John M. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 253.2016, 1 (16.8.), p. 85-93
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| Subject: | Investment analysis | Currency futures | Carry trade | Regime identification | Mean-semivariance portfolio optimization | Portfolio-Management | Portfolio selection | Währungsderivat | Currency derivative | Theorie | Theory | Währungsspekulation | Currency speculation | Hedging | Finanzanalyse | Financial analysis | Devisenmarkt | Foreign exchange market |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.02.024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011477369