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Mean-Variance and the Carry Trade—An Ideal Match?

Mean-Variance and the Carry Trade—An Ideal Match?

AutorF. Ackermann, W. Pohl, K. Schmedders
Datum1. Mai 2016
KategorieRoundups
Mean-Variance and the Carry Trade—An Ideal Match?

Despite its longstanding prominence, mean-variance analysis still leads to portfolios that are outperformed. Is it, then, a blind alley? A new paper focusing on the carry trade suggests not.  

 

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