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

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

Tue May 17 09:18:34 CEST 2016

Rochester-Bern Professor Dr. Karl Schmedders presents the latest industry-oriented reasearch findings concerning Mean-Variance in the «SFI Practitioner Roundups»:

 

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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