Internet Appendix to Beyond the Carry Trade: Optimal Currency Portfolios

Journal of Financial and Quantitative Analysis, 50, October 2015

15 Pages Posted: 1 May 2016

See all articles by Pedro Barroso

Pedro Barroso

UNSW Australia Business School, School of Banking and Finance

Pedro Santa-Clara

New University of Lisbon - Nova School of Business and Economics; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

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

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 Barroso (Contact Author)

UNSW Australia Business School, School of Banking and Finance ( email )

Sydney, NSW 2052
Australia

Pedro Santa-Clara

New University of Lisbon - Nova School of Business and Economics ( email )

Lisbon
Portugal

HOME PAGE: http://docentes.fe.unl.pt/~psc/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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