A ForEx Multi-Factor Investment Strategy Reactive to Distress - Couverture souple

De M�ric De Bellefon, Emmanuel

9783639621433: A ForEx Multi-Factor Investment Strategy Reactive to Distress

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ISBN 10 : 3639621433 ISBN 13 : 9783639621433

Editeur : �ditions universitaires europ�ennes, 2017

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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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�diteur: �ditions universitaires europ�ennes
Date d'�dition: 2017
Langue: anglais
ISBN 10: 3639621433
ISBN 13: 9783639621433
Reliure: Broch�
Nombre de pages: 52
Coordonn�es du fabricant: non disponible
Personne responsable: Andreas Meier
22029659400
info@rheinberg-buch.de

De Gasperi str. 8
Bergisch gladbach
51427
Allemagne

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A ForEx Multi-Factor Investment Strategy Reactive to Distress

Emmanuel de M�ric de Bellefon

Edit� par �ditions Universitaires Europ�ennes Jun 2017, 2017

ISBN 10 : 3639621433 ISBN 13 : 9783639621433

Neuf Taschenbuch

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Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne

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Taschenbuch. Etat : 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. N� de r�f. du vendeur 9783639621433

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A ForEx Multi-Factor Investment Strategy Reactive to Distress

Emmanuel de M�ric de Bellefon

Edit� par �ditions universitaires europ�ennes, 2017

ISBN 10 : 3639621433 ISBN 13 : 9783639621433

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A ForEx Multi-Factor Investment Strategy Reactive to Distress

Emmanuel de M�ric de Bellefon

Edit� par �ditions Universitaires Europ�ennes Jun 2017, 2017

ISBN 10 : 3639621433 ISBN 13 : 9783639621433

Neuf Taschenbuch

Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne

�valuation du vendeur 5 sur 5 �toiles

Taschenbuch. Etat : Neu. 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 Landstra�e 99, 66123 Saarbr�cken 52 pp. Englisch. N� de r�f. du vendeur 9783639621433

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A ForEx Multi-Factor Investment Strategy Reactive to Distress

Emmanuel de M�ric de Bellefon

Edit� par �ditions Universitaires Europ�ennes, 2017

ISBN 10 : 3639621433 ISBN 13 : 9783639621433

Neuf Taschenbuch

impression � la demande

Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne

�valuation du vendeur 5 sur 5 �toiles

Taschenbuch. Etat : 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. N� de r�f. du vendeur 9783639621433

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