Title:

Beyond the Carry Trade: Optimal Currency Portfolios

Authors:

Pedro Barroso (U New South Wales)
Pedro Santa Clara (U Nova)

Journal:

Journal Of Financial And Quantitative Analysis

Year:

2015

Volume:

50

Number:

5

Pages:

1037-1056

JEL codes:

F31 - Foreign Exchange
G11 - Portfolio Choice; Investment Decisions
G15 - International Financial Markets