Inhaltsangabe
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.
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Über die Autorin bzw. den Autor
Emmanuel de Méric de Bellefon - MSc in Mathematics and Finance, Department of Mathematics, Imperial College London.
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A ForEx Multi-Factor Investment Strategy Reactive to Distress
Verlag:
Éditions Universitaires Européennes Jun 2017, 2017
ISBN 10: 3639621433
ISBN 13: 9783639621433
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Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - 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. 52 pp. Englisch. Bestandsnummer des Verkäufers 9783639621433
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A ForEx Multi-Factor Investment Strategy Reactive to Distress
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Éditions universitaires européennes, 2017
ISBN 10: 3639621433
ISBN 13: 9783639621433
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A ForEx Multi-Factor Investment Strategy Reactive to Distress
Verlag:
Éditions Universitaires Européennes Jun 2017, 2017
ISBN 10: 3639621433
ISBN 13: 9783639621433
Neu
Taschenbuch
Anbieter: buchversandmimpf2000, Emtmannsberg, BAYE, Deutschland
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Taschenbuch. Zustand: Neu. 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. Bestandsnummer des Verkäufers 9783639621433
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A ForEx Multi-Factor Investment Strategy Reactive to Distress
Verlag:
Éditions Universitaires Européennes, 2017
ISBN 10: 3639621433
ISBN 13: 9783639621433
Neu
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Taschenbuch. Zustand: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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. Bestandsnummer des Verkäufers 9783639621433
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A ForEx Multi-Factor Investment Strategy Reactive to Distress
Verlag:
Éditions universitaires européennes, 2017
ISBN 10: 3639621433
ISBN 13: 9783639621433
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Taschenbuch. Zustand: Neu. A ForEx Multi-Factor Investment Strategy Reactive to Distress | Emmanuel de Méric de Bellefon | Taschenbuch | 52 S. | Englisch | 2017 | Éditions universitaires européennes | EAN 9783639621433 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Bestandsnummer des Verkäufers 109505347
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