Factor Investing in Currency Markets: Does It Make Sense?

Elisa Baku; Roberta Fortes; Karine Hervé; Edmond Lezmi; Hassan Malongo; Thierry Roncalli; Jiali Xu

doi:10.3905/jpm.2019.1.116

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

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Roberta Fortes

is a PhD candidate in economics at the University of Paris 1 in Paris, France

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Karine Hervé

is a senior economist at Amundi in Paris, France

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Edmond Lezmi

is head of multiasset quantitative research at Amundi in Paris, France

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Hassan Malongo

is a derivatives and volatility portfolio manager at Amundi in Paris, France

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Thierry Roncalli

is head of quantitative research at Amundi in Paris, France

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Jiali Xu

is a quantitative research analyst at Amundi in Paris, France

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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

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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

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