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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.