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We see a contrast between the importance of the currency risk factor in modern investment management and its treatment in portfolio analytics like performance attribution and risk budgeting. Part of this can be explained by conceptual complexities: currencies are not just another asset class,...
Persistent link: https://www.econbiz.de/10013130295
finally look at the impact of currency hedging …
Persistent link: https://www.econbiz.de/10013121222
frequently used derivatives in hedging transaction exposure. This paper examines whether forwards performs better than over …-the-counter option for a New Zealand exporter in hedging NZD/USD transaction exposure. This research adopts Hsin, Kuo and Lee's (1994 …) model of hedging effectiveness which maximizes the exporter's expected negative exponential utility function to compare and …
Persistent link: https://www.econbiz.de/10013157131
, many investors consider implementing currency-hedging programs to reduce or eliminate the volatility that results from … foreign currency exposures. This paper examines the prospect of hedging currency risk, evaluating the different methods used … costs of hedging developed market and emerging market currency exposures.Meketa Investment Group recommends investors …
Persistent link: https://www.econbiz.de/10012956872
frequently used derivatives in hedging transaction exposure. This paper examines whether forwards performs better than over …-the-counter option for a New Zealand exporter in hedging NZD/USD transaction exposure. This research adopts Hsin, Kuo and Lee's (1994 …) model of hedging effectiveness which maximizes the exporter's expected negative exponential utility function to compare and …
Persistent link: https://www.econbiz.de/10013004328
Foreign currency hedging provides certainty of cash flow, because it reduces the risk associated with the volatility of … currency exchange rate. The hedging has become important element in these last months, given the strong volatility that is … currency hedging, highlighting the most important elements in choosing the hedging policy. Indeed, the managers choose the …
Persistent link: https://www.econbiz.de/10013056170
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