Optimizing Cross-Asset Carry-Reference-Cited by-同舟云学术

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Optimizing Cross-Asset Carry

Published:2017 Issue: Volume: Page:317-364
ISSN:
Container-title:Factor Investing
language:
Short-container-title:

Author:

Baltas Nick

Publisher

Elsevier

Reference62 articles.

1. Optimal and Naive Diversification in Currency Markets;Ackermann,2016

2. The Returns to Carry and Momentum Strategies;Ahmerkamp,2013

3. Stock return predictability: is it there?;Ang;Review of Financial Studies,2007

4. Value and momentum everywhere;Asness;Journal of Finance,2013

5. Trend-following, risk-parity and the influence of correlations;Baltas,2015

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Market-neutral Carry Strategies: Harvesting Carry Without Market Risk;SSRN Electronic Journal;2024

2. Cross-Asset Style Premia Asset Allocation Process;SSRN Electronic Journal;2020

3. Trends Everywhere? The Case of Hedge Fund Styles;SSRN Electronic Journal;2018

4. Alternative Risk Premia: What Do We Know?;SSRN Electronic Journal;2017

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