Hedging with an edge : parametric currency overlay
Pedro Barroso, Jurij-Andrei Reichenecker, Marco J. Menichetti
| Year of publication: |
2022
|
|---|---|
| Authors: | Barroso, Pedro ; Reichenecker, Jurij-Andrei ; Menichetti, Marco J. |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 68.2022, 1, p. 669-689
|
| Subject: | foreign exchange | currency market | currency overlay | hedging | benchmark risk | margin requirements | Hedging | Devisenmarkt | Foreign exchange market | Währungsmanagement | Foreign exchange management | Theorie | Theory | Währungsderivat | Currency derivative | Portfolio-Management | Portfolio selection | Währungsrisiko | Exchange rate risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2020.3872 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012821248