Chang, Chia-Lin; Jimenez-Martin, Juan Angel Jimenez Martin - Facultad de Ciencias Económicas y Empresariales, … - 2012
This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …