Claudia Zunft

Goethe University Frankfurt - Department of Finance

Mertonstr. 17

Frankfurt, 60054

Germany

Quoniam Asset Management GmbH

Frankfurt

Germany

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Momentum-Managed Equity Factors

SAFE Working Paper No. 317
Number of pages: 68 Posted: 22 Jul 2019 Last Revised: 20 Jul 2021
Volker Flögel, Christian Schlag and Claudia Zunft
Quoniam Asset Management GmbH, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance
Downloads 781 (39,659)

Abstract:

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factor timing, time series momentum, anomalies

2.

A Low-Risk Strategy Based on Higher Moments in Currency Markets

Number of pages: 59 Posted: 28 Sep 2015 Last Revised: 30 May 2016
Claudia Zunft
Goethe University Frankfurt - Department of Finance
Downloads 578 (58,836)

Abstract:

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low-risk anomaly, higher moments, currencies, factor portfolios

3.

Quadratic, Cubic and Quartic Moment Risk Premiums in Currency Markets

28th Australasian Finance and Banking Conference
Number of pages: 60 Posted: 20 Jun 2015 Last Revised: 28 Jul 2016
Claudia Zunft
Goethe University Frankfurt - Department of Finance
Downloads 130 (270,637)

Abstract:

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currency options, model-free implied moments, power contracts, moment risk premiums