资源描述：
《universal hedging optimizing currency risk and reward in international equity portfolios》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、CHAPTER37UNIVERSALHEDGING:OPTIMIZINGCURRENCYRISKANDREWARDININTERNATIONALEQUITYPORTFOLIOS∗FischerBlackInaworldwhereeveryonecanhedgeagainstchangesinthevalueofrealexchangerates(therelativevaluesofdomesticandforeigngoods),andwherenobarrierslimitinternationalinvestment,thereisauniversa
2、lconstantthatgivestheoptimalhedgeratiothefractionofyourforeigninvestmentsyoushouldhedge.Theformulaforthisoptimalhedgeratiodependsonjustthreeinputs:Theexpectedreturnontheworldmarketportfolio.Thevolatilityoftheworldmarketportfolio.Averageexchangeratevolatility.Theformulainturnyields
3、threerules:Hedgeyourforeignequities.Hedgeequitiesequallyforallcountries.Donthedge100percentofyourforeignequities.Thisformulaappliestoeveryinvestorwhoholdsforeignsecurities.ItappliesequallytoaU.S.investorholdingJapaneseassets,aJapaneseinvestorholdingBritishassets,andaBritishinvesto
4、rholdingU.S.assets.Thatswhywecallthismethoduniversalhedging.∗ReprintedfromtheFinancialAnalystsJournal(July/August1989):16–22.539CH037.indd5398/28/108:43:23PM540PartIII:ManagingRisk—GlobalRiskWHYHEDGEATALL?Youmayconsiderhedgingazero-sumgame.Afterall,ifU.S.investorshedgetheirJapanes
5、einvestments,andJapaneseinvestorshedgetheirU.S.investments,thenwhenU.S.investorsgainontheirhedges,Japaneseinvestorslose,andviceversa.Buteventhoughonesidealwayswinsandtheothersidealwaysloses,hedgingreducesriskforbothsides.Moreoftenthannot,whenperformanceismeasuredinlocalcurrency,U.
6、S.investorsgainontheirhedgingwhentheirportfoliosdobadly,andJapaneseinvestorsgainontheirhedgingwhentheirportfoliosdobadly.Thegainsfromhedgingaresimilartothegainsfrominternationaldiversification.Becauseitreducesriskforbothsides,currencyhedgingprovidesafreelunch.WhyNotHedgeAll?Ifinves
7、torsinallcountriescanreduceriskthroughcurrencyhedging,whyshouldnttheyhedge100percentoftheirforeigninvestments?Whyhedgeless?Theanswercontainsourmostinterestingfinding.Whentheyhavedifferentconsump-tionbaskets,investorsindifferentcountriescanalladdtotheirexpectedreturnsbytakingsomecur
8、rencyriskintheirportfolios.Toseeh
