Standard and optimized carry trades
研究了标准套利交易在金融压力期（如金融危机）的亏损原因，并提出一种动态权重优化策略，该策略通过纳入风险成分降低压力期损失，提升风险收益表现，且与传统资产相关性更低。
Abstract Drawdown periods of standard carry trades are primarily the result of losses in classic carry trade currencies. These periods coincide with an increased financial stress, such as the recent financial crisis. The introduced optimized carry trades employ a dynamic weighting scheme for currencies, which incorporates general risk components. Optimized carry trades are therefore less exposed to losses under financial stress, and provide an enhanced risk‐return profile over the entire and second half of the sample period and during periods of volatile markets. These results find robust statistical evidence. Furthermore, optimized carry trades have a lower correlation with traditional asset classes than standard carry trades. Traditional models of risk are less successful in explaining the returns of optimized carry trades.