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Sparse and stable international portfolio optimization and currency risk management

Burkhardt, Raphael; Ulrych, Urban - 2022 - This Version: January 2022

This paper introduces a sparse and stable optimization approach for a multi-currency asset allocation problem. We study the benefits of joint optimization of assets and currencies as opposed to the standard industry practice of managing currency risk via so-called currency overlay strategies. In...

Persistent link: https://www.econbiz.de/10012800968

Hedge or rebalance : optimal risk management with transaction costs

Gallien, Florent; Kassibrakis, Serge; Malamud, Semyon - 2018 - This version: July 4, 2018

We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging … and deleveraging, or keeping his current position in the illiquid instrument and hedging away some of the risk while …

Persistent link: https://www.econbiz.de/10011900340

The exchange rate effect of multi-currency risk arbitrage

Hau, Harald - 2012

to strengthen the statistical evidence on the predicted shortrun exchange rate dynamics. Cross-sectional currency hedging … and fundamentals. Speculation ; Limited Arbitrage ; Hedging ; Exchange Rate Disconnect …

Persistent link: https://www.econbiz.de/10009558406

Ambiguity and the home currency bias

Ulrych, Urban; Vasiljević, Nikola - 2020 - This Version: August 2020

currency bias. The investor's dislike for model uncertainty induces a disproportionately high currency hedging demand. The …

Persistent link: https://www.econbiz.de/10012271218

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...

Persistent link: https://www.econbiz.de/10010258580

Capital adequacy tests and limited liability of financial institutions

Koch Medina, Pablo; Moreno-Bromberg, Santiago; Munari, … - 2014

The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate, in the context of bounded financial positions, the class of surplus-invariant acceptance sets. These are characterized by the...

Persistent link: https://www.econbiz.de/10010258750

Portfolio selection with active risk monitoring

Paolella, Marc S.; Polak, Pawel - 2015

The paper proposes a framework for large-scale portfolio optimization which accounts for all the major stylized facts of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry, heavy tails, and nonellipticity. It introduces a so-called...

Persistent link: https://www.econbiz.de/10011410659

Intrinsic risk measures

Farkas, Walter; Smirnow, Alexander - 2016 - First version: October 26, 2016

Monetary risk measures classify a financial position by the minimal amount of external capital that must be added to the position to make it acceptable.We propose a new concept: intrinsic risk measures. The definition via external capital is avoided and only internal resources appear. An...

Persistent link: https://www.econbiz.de/10011620033

On the strategic value of risk management

Léautier, Thomas-Olivier; Rochet, Jean-Charles - 2013

ranging from manufacturing to energy retailing, where risk averse fi rms decide on their hedging strategies before their … product market strategies. We fi nd that hedging modi es the pricing and production strategies of firms. This strategic effect … shareholders risk aversion. It has diametrically opposed impacts depending on the nature of product market competition: hedging …

Persistent link: https://www.econbiz.de/10009750629

Dynamic currency hedging with ambiguity

Polak, Pawel; Ulrych, Urban - 2021 - This version: August 2021

Persistent link: https://www.econbiz.de/10012614590

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