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1、CHAPTER38∗STRATEGIESFORHEDGINGMarkP.Kritzman,CFASimultaneouslymaximizingabsolutereturnsonanunderlyingportfolioandrela-tivereturnsonacurrencybenchmarkmovesglobalinvestorsfromtheefficientfrontiertotheefficientsurface.Thisjointoptimizationinthreedimensions—expectedreturn,volati
2、lity,andtrackingerror—almostalwaysproducesbetterresultsthanconstrainedmean–varianceanalysis.Nonlinearhedgingstrategiesareaneffectivemethodformanagingcurrencyrisk,butobtainingsomeoftheseinstruments—contingentcurrencyoptionsandhybridcollars—canbedifficultandexpensive.Determin
3、ingtheappropriatehedgingstrategyinvolvesunderstandingthemotivationforcur-rency-riskmanagement,knowingthattherelevantcorrelationisthatbetweenforeignassetreturnsintheinvestorsbasecurrencyandcurrencyreturns,evaluatinglinearandnonlin-earhedgingstrategiesandavailablehedginginst
4、ruments(forwards,traditionaloptions,contingentoptions,andhybridcollars),andassessingthecashflowimplicationsofcurrency-hedgingstrategies.Althoughthemotivationforcurrency-riskmanagementistomaximizeexpectedutility,institutionalinvestorsmayseektodefineutilityinabsoluteterms,rela
5、tiveterms,orboth.Howacurrencyscorrelationwithlocalforeignassetreturnsismappedontoitscorrelationwithbase-currency-denominatedforeignassetreturnssignificantlyaffectstheminimum-riskhedgeratio.Determiningtheappropriatehedgingstrategyrequiresnotonlyunderstandingavailableinstrume
6、ntsbutalsoevaluatingstrategiesespeciallynonlinearstrategiesagainstarelevantbenchmark.Analyzingcurrency-hedgingstrategiesusingvalue-at-riskanaly-siscanhelpestimatecashflowdemandsatvariousconfidencelevelsforacurrencyoverlayportfolio.∗ReprintedfromAIMRConferenceProceedings:Mana
7、gingCurrencyRisk(November1997):2838.551CH038.indd5518/28/108:44:03PM552PartIII:ManagingRiskGlobalRiskMOTIVATIONFORCURRENCY-RISKMANAGEMENTTheobjectiveofcurrency-riskmanagementistomaximizeexpectedutility,whichtradition-allyhasbeendefinedasexpectedreturnminusriskaversiontimesv
8、ariance,orRRWA+×−+×+××××()SSW2222rSSW,pfpfpfwhereRptheportfoliosreturnRfreturnofacurren
