Research

Working papers:

Optimal Currency Portfolios: Do Characteristics Matter? by A. Hedieh Shahini :: SSRN

SSRN'sTop Ten download list for: ERN: International Finance (Topic) and Econometric Modeling: International Economics eJournal, SSRN'sTop one download list for: ERN: International Finance (Topic) on International Women's Day 08 March 2024, SSRN's Top Ten download list for: Econometric Modeling: Capital Markets - Portfolio Theory eJournal, SSRN's Top Ten download list for: FinPlanRN: Portfolio Choice (Topic)

Selected Conferences:

International Association for Applied Econometrics Conference (IAAE 2024), Greece

UK Women in Finance for poster session, UK

2024 Lancaster-Manchester-Warwick Joint Workshop on Quantitative Finance and Financial Technology, UK

World Finance Conference, Cyprus

The 31st Annual Global Finance, Sardinia, Italy

Brownbag at the University of Warwick, UK

World Finance & Banking Symposium, Abu Dhabi

-Carry: Subset Predictor

Abstract

The ability of a currency to generate profits using trading strategies may be short-lived or impacted by economic turmoil or central bank intervention. I identify the subset of currencies by constructing the factor that enhances the carry signal during uncertainty and disentangles currencies’ performance with a substantially higher sharp ratio and lower skewness. The signal factor found the New Zealand dollar (NZD) as the primary currency in carry trade formation that signals strongly before the crisis and extreme events to save an investor from the crash in the currency market, while the prior work indicates the JPY and the AUD. As long as the JPY is the second one to signal the crash, I can suggest that the investors with JPY in hand try to hedge their assets by selling the NZD.

-International Inflation Correlation Risk: Hedge or Trade, Nature Spirit (JMP)

International Inflation Correlation Risk, Hedge or Trade, Nature Spirit by A. Hedieh Shahini :: SSRN

Selected Conferences:

ISFBI International Symposium for Derivatives and Risk Management, Paris, France

FMA 2024 (Turin, Doctoral Consortium), Italy

MMF PhD Conference 2024, UK

FMA 2024 (TX, Doctoral Consortium), US

SoFiE, Brussels

World Finance & Banking Symposium, Abu Dhabi

FMA 2024 Annual Meeting (TX), US

Bundensbank: Frankfurt Summer School 2025

Session 049 - Doctoral Student Consortium Job Market Paper Presentations