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Beyond the Carry Trade: Optimal Currency Portfolios
16 references·16 citing·43 second hopsampled
Beyond the Carry Trade: Optimal Currency Portfolios (2015)Beyond the Carry Trade: Optimal Currency …Value and Momentum Everywhere (2013)Value and Momentum EverywherePresidential Address: Discount Rates (2011)Presidential Address: Discoun…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…What matters for financial development? Capital controls, institutions, and interactions (2005)What matters for financial de…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The use of technical analysis in the foreign exchange market (1992)The use of technical analysis…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The equity premium: A puzzle (1985)The equity premium: A puzzleForward and spot exchange rates (1984)Forward and spot exchange rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…A Multifactor Perspective on Volatility‐Managed Portfolios (2024)A Multifactor Perspective on …Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies (2021)Investing with cryptocurrenci…Exchange Rates and Sovereign Risk (2021)Exchange Rates and Sovereign …Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020)Demystifying Time‐Series Mome…Business cycles and currency returns (2020)Business cycles and currency …The Quanto Theory of Exchange Rates (2019)The Quanto Theory of Exchange…The Long-Run Reversal in the Long Run: Insights from Two Centuries of International Equity Returns (2019)The Long-Run Reversal in the …Global Factor Premiums (2019)Global Factor PremiumsEconomic momentum and currency returns (2019)Economic momentum and currenc…Good Carry, Bad Carry (2018)Good Carry, Bad CarryGlobal Currency Hedging with Common Risk Factors (2018)Global Currency Hedging with …Crash Risk in Currency Returns (2018)Crash Risk in Currency ReturnsOptimal and Naive Diversification in Currency Markets (2016)Optimal and Naive Diversifica…Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades (2016)Information Flows in Foreign …Capital market integration and consumption risk sharing over the long run (2016)Capital market integration an…Currency Excess Returns and Global Downside Market Risk (2012)Currency Excess Returns and G…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Empirical Asset Pricing via Machine Learning (2020)PORTFOLIO SELECTION* (1952)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Asset Prices in an Exchange Economy (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Legal Determinants of External Finance (1997)Law and Finance (1998)Financial intermediation and growth: Causality and causes (2000)Financial Globalization: A Reappraisal (2006)A New Measure of Financial Openness (2008)The macroeconomic consequences of disasters (2008)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2005What matters for financial development? Capital controls, institutions, and interactions2,650 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 1992The use of technical analysis in the foreign exchange market1,071 cited
  • 1980Exchange Rates and the Current Account.

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1,042 cited

Cited by

  • 2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades124 cited
  • 2021Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies118 cited
  • 2021Exchange Rates and Sovereign Risk108 cited
  • 2020Business cycles and currency returns100 cited
  • 2019The Quanto Theory of Exchange Rates95 cited
  • 2018Crash Risk in Currency Returns85 cited
  • 2019Global Factor Premiums84 cited
  • 2019Economic momentum and currency returns74 cited
  • 2018Global Currency Hedging with Common Risk Factors74 cited
  • 2012Currency Excess Returns and Global Downside Market Risk71 cited
  • 2018Good Carry, Bad Carry67 cited
  • 2016Capital market integration and consumption risk sharing over the long run62 cited
  • 2024A Multifactor Perspective on Volatility‐Managed Portfolios61 cited
  • 2016Optimal and Naive Diversification in Currency Markets49 cited
  • 2020Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations42 cited
  • 2019The Long-Run Reversal in the Long Run: Insights from Two Centuries of International Equity Returns37 cited