Dynamic allocations for currency futures under switching regimes signals
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 | Währungsspekulation | Currency speculation | Theorie | Theory |
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