Roon, F.A. de; Nijman, T.E.; Werker, B.J.M. - Erasmus Research Institute of Management (ERIM), ERIM … - 2000
This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as different utility functions and the presence of nontraded risks. In addition we show that an...