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| Author: | Lindenhovius, B. Vrij, G. de |
| Title: | The search for a balanced hedge ratio policy |
| Journal: | Journal of asset management
2001 : JUN, VOL. 2:1, p. 35-46 |
| Index terms: | ALLOCATION CURRENCY HEDGING PORTFOLIO MANAGEMENT VALUATION |
| Language: | eng |
| Abstract: | This practical study focuses on different aspects of determining a currency policy for a balanced portfolio manager. The first part tries to determine the strategic long-term optimal hedge ratio. The study then shifts from a strategic to a tactical focus. Valuation models based on PPP, interest rate and economic growth differentials combined with short-term technical analysis tools are able to add value in the tactical allocation process. |
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