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Dynamic currency hedging with non-Gaussianity and ambiguity
Polak, Pawel; Ulrych, Urban - In: Quantitative finance 24 (2024) 2, pp. 305-327
Persistent link: https://www.econbiz.de/10014551995
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Value-At-Risk Based Approach For Currency Hedging
Khurana, Rachna; Khetan, Umang - 2021
the optimal hedge ratio for a multi-national corporate that aims to minimize the cost of hedging at a given tolerance … of hedges, and condensation of the parameters governing hedging decision into a single, intuitively-appealing number. The …
Persistent link: https://www.econbiz.de/10013250136
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Global Investing : The Importance of Currency Returns and Currency Hedging
Inc., MSCI - 2011
finally look at the impact of currency hedging …
Persistent link: https://www.econbiz.de/10013121222
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Risk mitigation of production hedging
Park, John H.; Kazaz, Burak; Webster, Scott - In: Production and operations management : an international … 26 (2017) 7, pp. 1299-1314
Persistent link: https://www.econbiz.de/10011737209
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Sparse and stable international portfolio optimization and currency risk management
Burkhardt, Raphael; Ulrych, Urban - 2022 - This Version: January 2022
This paper introduces a sparse and stable optimization approach for a multi-currency asset allocation problem. We study the benefits of joint optimization of assets and currencies as opposed to the standard industry practice of managing currency risk via so-called currency overlay strategies. In...
Persistent link: https://www.econbiz.de/10012800968
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Sparse and stable international portfolio optimization and currency risk management
Burkhardt, Raphael; Ulrych, Urban - In: Journal of international money and finance 139 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014478227
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Hedging with an edge : parametric currency overlay
Barroso, Pedro; Reichenecker, Jurij-Andrei; Menichetti, … - In: Management science : journal of the Institute for … 68 (2022) 1, pp. 669-689
Persistent link: https://www.econbiz.de/10012821248
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International diversification and currency hedging
Winkelmann, Kurt - In: Modern investment management : an equilibrium approach, (pp. 136-151). 2003
Persistent link: https://www.econbiz.de/10002112071
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Hedging with an Edge : Parametric Currency Overlay
Barroso, Pedro - 2017
domestic portfolio. We propose modeling the currency hedging strategy as a function of characteristics proxying for expected … hedging. Proxies for risk, such as volatility, skewness, beta on volatility, and equity sensitivity are irrelevant in our …
Persistent link: https://www.econbiz.de/10012949646
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Why Currency Returns and Currency Hedging Matter : An Update on the MSCI Hedged Indices
Bender, Jennifer - 2014
performance. Hedging currency exposure is one technique for taking currency risk out of the equation when investing in foreign … effects of currency on foreign investments and how currency hedging can help investors who do not have a viewpoint on the …
Persistent link: https://www.econbiz.de/10013039564