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| Author: | Breuer, W. |
| Title: | Hedging von Wechselkursrisiken bei internationaler Ausschreibungen |
| Journal: | Zeitschrift für Betriebswirtschaft
1997 : VOL. 67, SPECIAL NUMBER, p. 81-103 |
| Index terms: | HEDGING FORWARD EXCHANGE TENDER OFFERS CURRENCY OPTIONS INTERNATIONAL ECONOMICS GERMANY |
| Language: | ger |
| Abstract: | We consider a German contractor participation in an international tender and ask for this optimal use of currency options and forward contracts in order to hedge currency risks. In contrast to the usual textbook recommendation of the sole use of put options we can show that the contractor will typically not refrain from selling forward a part of this uncertain earnings from the tender. If we assume the contractor s utility function to be quadratic we can even show a much stronger result: The contractor s optimal hedging policy is completely characterized by selling forward the expected value of his returns from the tender. Under these conditions, other hedging instruments such as options become redundant. |
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