Factor Investing in Currency Markets: Does It Make Sense?
Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli and Jiali Xu
The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116
Elisa Baku
is a PhD candidate in economics at the University of Paris 1 in Paris, France
Roberta Fortes
is a PhD candidate in economics at the University of Paris 1 in Paris, France
Karine Hervé
is a senior economist at Amundi in Paris, France
Edmond Lezmi
is head of multiasset quantitative research at Amundi in Paris, France
Hassan Malongo
is a derivatives and volatility portfolio manager at Amundi in Paris, France
Thierry Roncalli
is head of quantitative research at Amundi in Paris, France
Jiali Xu
is a quantitative research analyst at Amundi in Paris, France
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In this issue
The Journal of Portfolio Management
Vol. 46, Issue 2
Quantitative Special Issue 2020
Factor Investing in Currency Markets: Does It Make Sense?
Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli, Jiali Xu
The Journal of Portfolio Management Dec 2019, 46 (2) 141-155; DOI: 10.3905/jpm.2019.1.116