Optimal foreign exchange hedge tenor with liquidity risk
Rongju Zhang, Mark Aarons and Gregoire Loeper
| Year of publication: |
2021
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|---|---|
| Authors: | Zhang, Rongju ; Aarons, Mark ; Loeper, Gregoire |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 23.2020/2021, 3, p. 1-29
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| Subject: | foreign exchange hedging | optimal hedge tenor | carry trade | liquidity risk | cashflow at risk | Hedging | Theorie | Theory | Devisenmarkt | Foreign exchange market | Währungsrisiko | Exchange rate risk | Portfolio-Management | Portfolio selection | Währungsderivat | Currency derivative | Risikomanagement | Risk management | Währungsmanagement | Foreign exchange management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2021.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012500295