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

AuthorF. Ackermann, W. Pohl, K. Schmedders
Date1 mai 2016
CatégorieRoundups
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.  

 

Read the full version in English