Download This PaperInternet Appendix to Beyond the Carry Trade: Optimal Currency Portfolios
Journal of Financial and Quantitative Analysis, 50, October 2015
15 Pages Posted: 1 May 2016
Date Written: October 1, 2015
Abstract
This appendix to 'Beyond the Carry Trade: Optimal Currency Portfolios' presents supplementary results not included in the paper.
The paper may be found here: http://ssrn.com/abstract=2041460.
Keywords: forward rate premium, carry trade, currency market, optimal portfolios
JEL Classification: F31, G11, G12
Suggested Citation: Suggested Citation
Barroso, Pedro and Santa-Clara, Pedro, Internet Appendix to Beyond the Carry Trade: Optimal Currency Portfolios (October 1, 2015). Journal of Financial and Quantitative Analysis, 50, October 2015, Available at SSRN: https://ssrn.com/abstract=2771667
Pedro Santa-Clara
Nova School of Business and Economics ( email )
Campus de Carcavelos
Rua da Holanda, 1
Carcavelos, 2775-405
Portugal
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