A ForEx Multi-Factor Investment Strategy Reactive to Distress

Language: English

Published by Éditions Universitaires Européennes Jun 2017, 2017

3639621433 / 9783639621433

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This item is printed on demand - Print on Demand Titel. Neuware -This work addresses investment strategies on Currency markets. One way to build up a robust strategy consists in using a parametric approach: maximizing the investor utility given different characteristics on the currencies available at the time. For such purpose, traditional elementary Carry trade strategies, Momentum strategies and Valuation strategies come in handy as characteristic signals for they exploit different stylized facts of the market. We discuss the possibility of an optimised multi-factor parametric investment strategy using these traditional strategies as building blocks. Moreover, we propose improvements to make the strategy reactive to distress across markets developing a regime-variable strategy: we define a variable to account for the 'state of the world', and explain how to incorporate it to the parametric strategy. Eventually, calibration is the ultimate investor-friendly lever one needs to control his exposure to systematic risk.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 52 pp. Englisch.…

Seller Inventory # 9783639621433

Title
A ForEx Multi-Factor Investment Strategy Reactive to Distress
Author
Emmanuel de Méric de Bellefon
Publisher
Éditions Universitaires Européennes Jun 2017
Publication year
2017
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3639621433
ISBN 13
9783639621433
Item weight
96 grams
Dimensions
220x150x4 mm

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

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