forecastable component in global factor returns. The hedging strategy outperforms leading alternative approaches to currency … hedging across a large set of out-of-sample performance metrics. Moreover, we find that exploiting currency return …

We examine the influence of Quantitative Easing (QE) on hedging effectiveness and performance (E&P) of international … negative with the Fed's Treasury holdings. E&P are higher for optimal versus full hedging during the QE versus pre-QE period … and differ for portfolios from developed and emerging countries. Results are robust using other hedging E&P measures and …

We derive a closed-form expression for the mean and marginal hedging demand on risky assets in long-term asset …-form expression for the hedging demand is exact under polynomial specifications of the portfolio policy rule and a suitable … approximation for unknown smooth parametric portfolio policy rules using Taylor expansions. The hedging demand on risky assets …

comprehensive estimates of foreign investors' U.S. dollar (USD) security holdings and currency hedging practices. We find that … USD hedging volume by insurance, pensions and mutual funds amounts to \$2 trillion per annum. We benchmark foreign … investors' USD holdings and hedging patterns using a mean-variance framework, and discuss important empirical drivers of USD …

rate in question. The study investigates the implications of hedging exchange rate risk of less common currencies for an …

currency hedging. We discover that in the case of Poland, shortening the currency positions is undesirable, as it amplifies the …