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Optimal currency hedging : horizon matters

Arruda, Nelson; Bergeron, Alain; Kritzman, Mark - 2019 - This Version: June 7, 2019

Investors have long debated what fraction, if any, of their portfolio's currency exposure they should hedge. Although the answers cover a broad range, often with dubious rationale, most informed investors agree that the solution should be based on mean-variance optimization, deployed either to...

Persistent link: https://www.econbiz.de/10012104398

Optimal hedge ratio in a biased forward market under liquidity constraints

Dömötör, Barbara - In: Finance research letters 21 (2017), pp. 259-263

Persistent link: https://www.econbiz.de/10011807801

Alternative currency hedging strategies with known covariances

Chen, Wei; Kritzman, Mark; Turkington, David - In: Journal of investment management : JOIM 13 (2015) 2, pp. 6-24

Persistent link: https://www.econbiz.de/10011635273

The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market : A Bootstrap Approach

Levich, Richard M. - 1991

In this paper, we present new evidence on the profitability and statistical significance of technical trading rules in … rate series constructed by random reordering of each original series. We then measure the profitability of the technical …-year periods reveals that on average the profitability of some trading rules declined in the 1986-1990 period although …

Persistent link: https://www.econbiz.de/10012475179

Currency hedging for a multi-national firm

Kallio, Markku; Koivu, Matti; Wang, Rudan - In: Handbook of recent advances in commodity and financial …, (pp. 297-320). 2018

Persistent link: https://www.econbiz.de/10011898659

Dynamic currency hedging with non-Gaussianity and ambiguity

Polak, Pawel; Ulrych, Urban - In: Quantitative finance 24 (2024) 2, pp. 305-327

Persistent link: https://www.econbiz.de/10014551995

Hedging with an Edge : Parametric Currency Overlay

Barroso, Pedro - 2017

Campbell, Serfaty-De Medeiros, and Viceira (2010) propose an optimized method to hedge currency risk in portfolios of international equities. In a demanding out-of-sample test, incorporating transaction and rebalancing costs, and margin requirements we find their method reduces risk in real...

Persistent link: https://www.econbiz.de/10012949646

Asset allocation : investment style and hedging style of internationally diversified funds

Gallati, Reto R. - 1995

Persistent link: https://www.econbiz.de/10013452492

Financial risk management : domestic and international dimensions

Jorion, Philippe - 1996

Persistent link: https://www.econbiz.de/10013548643

Lending relationships and currency hedging

Leão, Sérgio; Schiozer, Rafael Felipe; Oliveira, Raquel F. - 2022

Persistent link: https://www.econbiz.de/10013461211