This paper proposes an option-based portfolio insurance method for international foreign exchange risk hedging. Each investor is assumed to maximize the expected utility of his/her portfolio which includes international risky assets and foreign currency index derivatives. The optimal investment...

This paper characterizes the co-movements in commodity prices with a dynamic latent factor model that decomposes commodity returns into global, sectoral, and idiosyncratic components. The results indicate that global and sectoral factors are important sources of co-movements in commodity...