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