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Author: | Larsen, Glen A. Jr. Resnick, Bruce G. |
Title: | The optimal construction of internationally diversified equity portfolios hedged against exchange rate uncertainty |
Journal: | European Financial Management
2000 : DEC, VOL. 6:4, p. 479-514 |
Index terms: | EQUITY PORTFOLIOS DIVERSIFICATION UNCERTAINTY EXCHANGE RATES HEDGING |
Language: | eng |
Abstract: | An alternative to an unitary hedge ratio, or a currency overlay on hedging exchange rate exposure in portfolios of financial assets is presesnted. The currencies themselves can be treated as assets and the position in them optimized. In this paper it is empirically tested whether the ex post results of recent studies, which conclude that currencies should themselves be optimized, stand up under parameter uncertainty. |
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