This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as different utility functions and the presence of nontraded risks. In addition we show that an...

In this paper we study portfolios that investors hold to hedge various economic risks. We also consider the risk premiums associated with these economic hedging portfolios for various types of agents. Using a model of state-dependent utility, we show that agents' economic hedging portfolios can...

We propose a new adjustment in mean-variance portfolio weights to incorporate uncertainty caused by the fact that, in general, we have to use estimated expected returns when determining optimal portfolios. The adjustment amounts to using a higher pseudo risk-aversion rather than the actual...