haku: @all futures / yhteensä: 83
viite: 70 / 83
Tekijä: | Lioui, A. Poncet, P. |
Otsikko: | Optimal currency risk hedging |
Lehti: | Journal of International Money and Finance
2002 : APR. VOL. 21:2, p. 241-264 |
Asiasana: | CURRENCY FINANCIAL RISK FOREIGN INVESTMENT FUTURES MARKETS HEDGING |
Kieli: | eng |
Tiivistelmä: | 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. |
SCIMA