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Quantitative Finance · Glossaire

Qu'est-ce que « Carry strategy » ?

Definition 20.1 Strategies I: Equities and Futures · Chapitre 20 — Carry Across Asset Classes

A carry strategy holds long positions in the assets of a class with the highest carry and short positions in those with the lowest, with weights that increase with the carry’s rank, rebalanced as carries change; it earns the carry spread and bears the risk that prices move against it.

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