Understanding the interplay between covariance forecasting factor models and risk‐based portfolio allocations in currency carry trades

Mathematics

• Context 8%
• Currency 100%
• Demonstrate 8%
• Error term 13%
• Exception 13%
• Factor Models 85%
• Financial Data 17%
• Forecasting 77%
• Framework 15%
• Heteroskedasticity 38%
• Model 13%
• Modeling 8%
• Performance 8%
• Portfolio Selection 18%
• Regression 10%
• Regression Model 11%
• Relationships 8%
• Risk Measures 33%
• Stationarity 14%
• Statistical Model 13%
• Time Series Models 15%
• Trade 85%

Business & Economics

• Assets 9%
• Carry Trade 95%
• Currency 67%
• Factors 5%
• Financial Assets 17%
• Financial Data 16%
• Forecasting Performance 18%
• Heteroskedasticity 66%
• Modeling 9%
• Multi-factor 19%
• Multifactor Model 22%
• Portfolio Allocation 82%
• Portfolio Selection 17%
• Regression Model 13%
• Risk Measures 33%
• Stationarity 18%
• Statistical Model 23%

Engineering & Materials Science

• Macros 6%
• Statistical Models 6%
• Time series 5%