Hedging with an Edge: Parametric Currency Overlay
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DOI: 10.1287/mnsc.2020.3872
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- Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2024. "Cross-momentum strategies in the equity futures and currency markets," Journal of International Money and Finance, Elsevier, vol. 148(C).
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Keywords
foreign exchange; currency market; currency overlay; hedging; benchmark risk; margin requirements;All these keywords.
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