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dc.contributor.author Burnside, C
dc.contributor.author Eichenbaum, M
dc.contributor.author Rebelo, S
dc.date.accessioned 2010-06-28T18:58:56Z
dc.date.issued 2008-04-01
dc.identifier.citation Journal of the European Economic Association, 2008, 6 (2-3), pp. 581 - 588
dc.identifier.issn 1542-4766
dc.identifier.uri http://hdl.handle.net/10161/2587
dc.description.abstract Market participants routinely take advantage of the failure of uncovered interest rate parity to speculate in currency markets. Perhaps the most widely used currency speculation strategy is the carry trade. In this article we take the perspective of an individual currency trader and document the gains to diversifying the carry trade across different currencies. We show that these gains are large. Diversification boosts the typical Sharpe ratio by over 50%. © 2008 by the European Economic Association.
dc.format.extent 581 - 588
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of the European Economic Association
dc.relation.isversionof 10.1162/JEEA.2008.6.2-3.581
dc.title Carry trade: The gains of diversification
dc.type Journal Article
dc.department Economics
pubs.issue 2-3
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 6
dc.identifier.eissn 1542-4774

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