Marco J. Menichetti

Liechtenstein University

F├╝rst-Franz-Josef-Strasse

Vaduz, FL-9490

Liechtenstein

http://www.uni.li

SCHOLARLY PAPERS

3

DOWNLOADS

232

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Hedging with an Edge: Parametric Currency Overlay

30th Australasian Finance and Banking Conference 2017
Number of pages: 39 Posted: 18 Aug 2017 Last Revised: 13 Dec 2017
Pedro Barroso, Marco J. Menichetti and Jurij-Andrei Reichenecker
UNSW Australia Business School, School of Banking and Finance, Liechtenstein University and Hochschule Liechtenstein - Institute of Financial Services
Downloads 120 (249,257)

Abstract:

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Foreign exchange, currency market, currency overlay.

2.

Long-Only Momentum, Currency Hedging and Transaction Costs: Implications for a Swiss Equity Investor

Number of pages: 15 Posted: 11 Oct 2013
Vincenzo Devito, Lars Kaiser, Marco J. Menichetti and Aron Veress
Hochschule Liechtenstein - Institute of Financial Services, University of Liechtenstein, Liechtenstein University and University of Liechtenstein
Downloads 112 (263,574)
Citation 1

Abstract:

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Momentum; Currency; Hedging; Transaction Costs; Switzerland

3.

Enhanced Mean-Variance Portfolios - A Controlled Integration of Quantitative Return Estimates

Journalof Portfolio Management, Vol. 40, No. 4, 2014, 25th Australasian Finance and Banking Conference 2012, https://doi.org/10.3905/jpm.2014.40.4.028
Posted: 21 May 2019
Lars Kaiser, Marco J. Menichetti and Aron Veress
University of Liechtenstein, Liechtenstein University and University of Liechtenstein

Abstract:

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Bayesian portfolio construction, Black-Litterman, downside risk, enhanced indexing, goodness-of-fit, random sampling