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Optimal and Naive Diversification in Currency Markets
16 references·2 citing·41 second hop
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References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2003Forecasting Volatility in Financial Markets: A Review800 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 2007Optimal Portfolio Choice with Parameter Uncertainty704 cited
  • 2013Exchange Rate Predictability654 cited
  • 2010Do Peso Problems Explain the Returns to the Carry Trade?522 cited
  • 2014Crash-neutral currency carry trades319 cited
  • 2008An Economic Evaluation of Empirical Exchange Rate Models265 cited
  • 2011The Time-Varying Systematic Risk of Carry Trade Strategies

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205 cited

Cited by

  • 2020Analysis of new approaches used in portfolio optimization: a systematic literature review36 cited
  • 2019On the cross-sectional relation between exchange rates and future fundamentals12 cited