.png){kind=icon}
Return
Optimizing Currency Factors
.png){kind=icon}
OA
AI
DOI：10.1111/fire.70000.png)
.png){kind=icon}
.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
We introduce a novel framework that dynamically optimizes currency factor strategies via trading currency spot and forward. We examine the performance of 24,336 portfolio optimization approaches and find that the optimized currency factors significantly outperform the naïve factors after correcting for data snooping bias. Our framework suits both symmetric factor portfolios, including carry, momentum, and value, and asymmetric factor portfolios, such as time series momentum and return signal momentum. An out-of-sample procedure that aggregates all the outperforming optimization approaches validates the economic significance of our optimized factor portfolio.
Keywords:
currency factor
foreign exchange
forward market
multiple hypothesis testing
portfolio optimization JEL codes: F31
G11
G12
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
1.9
Papers:
117
Citations:
1.5K
Organization
Cited Papers
.png){kind=icon}
ShareSaveShareSaveShareSaveShareSaveShareSave
View more