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| Author: | Lioui, A. Poncet, P. |
| Title: | Optimal currency risk hedging |
| Journal: | Journal of International Money and Finance
2002 : APR. VOL. 21:2, p. 241-264 |
| Index terms: | CURRENCY FINANCIAL RISK FOREIGN INVESTMENT FUTURES MARKETS HEDGING |
| Language: | eng |
| Abstract: | This paper investigates the optimal hedging strategy of a domestic expected utility maximizer endowed with a temporarily non-traded position in a foreign investment. The domestic and foreign yield curves, the exchange rate between the two involved currencies, and the foreign investment value are stochastic and obey fairly general diffusion processes. |
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