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  • Search: subject:"Interval error"
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Subject
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Auto-correlation 1 Cross-correlation 1 Currency derivative 1 Hedging 1 Interval error 1 Mean-variance optimization 1 Optimal currency hedge ratio 1 Portfolio selection 1 Portfolio-Management 1 Risikoaversion 1 Risk aversion 1 Theorie 1 Theory 1 Währungsderivat 1
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Free 1
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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English 1
Author
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Arruda, Nelson 1 Bergeron, Alain 1 Kritzman, Mark 1
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MIT Sloan Research Paper 1 Sloan working papers 1
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ECONIS (ZBW) 1
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Optimal currency hedging : horizon matters
Arruda, Nelson; Bergeron, Alain; Kritzman, Mark - 2019 - This Version: June 7, 2019
Investors have long debated what fraction, if any, of their portfolio's currency exposure they should hedge. Although the answers cover a broad range, often with dubious rationale, most informed investors agree that the solution should be based on mean-variance optimization, deployed either to...
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