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《hedging the exchange rate risk in international portfolio diversification 》由會員上傳分享，免費在線閱讀，更多相關(guān)內(nèi)容在工程資料-天天文庫。
1、Hedgingtheexchangerateriskininternationalportfoliodiversification-->AbstractPurpose–Thisstudyseekstoexaminetheeffectivenessofcontrollingthecurrencyriskforinternationaldiversifiedmixed-assetportfoliosviatents,currencyforostmonhedgetool,ethodology/approach–Oean-varian
2、ceframeizationisdoubtful.Toaccountforthisproblem,ameanloomentmodelisemployed.Anin-the-sampleasplecontextisused.pleanalyses,ablockbootstraptesthasbeenusedtostatisticallytesttheexistenceofanysignificantperformanceimprovement.Follopleevaluationhasbeenchecked.Inaddition
3、,currencytrendsarealsotakenintoaccounttotestthetime-trenddependenceofcurrencymovementsand,therefore,therelativepotentialgainsofrisk-controllingstrategies.Findings–Resultsshooneyoptionshavethepotentialtosubstitutetheoptimallyforoneyoptionsandforuchmorediversifiedsele
4、ctionofstockandbondmarketsthannohedgingstrategy.Theoptimaloptionplythataput-in-the-moneyoptionstrategyismoreactivethanat-the-moneyorout-of-the-moneyputoptions,pliesthedependencyofputstrategiesonthelevelofstrikeprice.Averyinterestingpointisthat,justbydedicatingaverys
5、mallpartoftheinvestmentinoptions,thesameamountofcurrencyriskexposurecanbehedgedasalforplestudy,theoptimallyforuchbetterperformancethananytypesofputpolicies.Practicalimplications–Theresearchshoplicationsofdifferentcurrencyhedgingstrategies.Thefindingcouldbeofinterest
6、forassetmanagersofinternationallydiversifiedportfolios.Originality/value–Consideringthefindingsintheout-of-sampleperspective,theoptimallyforinimumriskportfoliodominatesallotherstrategies,inantportfoliostrategies.
