hedging the exchange rate risk in international portfolio diversification

《hedging the exchange rate risk in international portfolio diversification 》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、Hedgingtheexchangerateriskininternationalportfoliodiversification-->AbstractPurpose–Thisstudyseekstoexaminetheeffectivenessofcontrollingthecurrencyriskforinternationaldiversifiedmixed-assetportfoliosviatents,currencyforostmonhedgetool,ethodology/approach–Oean-varianceframeizationisdou

2、btful.Toaccountforthisproblem,ameanloomentmodelisemployed.Anin-the-sampleasplecontextisused.pleanalyses,ablockbootstraptesthasbeenusedtostatisticallytesttheexistenceofanysignificantperformanceimprovement.Follopleevaluationhasbeenchecked.Inaddition,currencytrendsarealsotakenintoaccount

3、totestthetime-trenddependenceofcurrencymovementsand,therefore,therelativepotentialgainsofrisk-controllingstrategies.Findings–Resultsshooneyoptionshavethepotentialtosubstitutetheoptimallyforoneyoptionsandforuchmorediversifiedselectionofstockandbondmarketsthannohedgingstrategy.Theoptima

4、loptionplythataput-in-the-moneyoptionstrategyismoreactivethanat-the-moneyorout-of-the-moneyputoptions,pliesthedependencyofputstrategiesonthelevelofstrikeprice.Averyinterestingpointisthat,justbydedicatingaverysmallpartoftheinvestmentinoptions,thesameamountofcurrencyriskexposurecanbehed

5、gedasalforplestudy,theoptimallyforuchbetterperformancethananytypesofputpolicies.Practicalimplications–Theresearchshoplicationsofdifferentcurrencyhedgingstrategies.Thefindingcouldbeofinterestforassetmanagersofinternationallydiversifiedportfolios.Originality/value–Consideringthefindings

6、intheout-of-sampleperspective,theoptimallyforinimumriskportfoliodominatesallotherstrategies,inantportfoliostrategies.