haku: @author Werker, B.J.M. / yhteensä: 2
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| Tekijä: | Roon, F.A. de Nijman, T.E. Werker, B.J.M. |
| Otsikko: | Currency hedging for international stock portfolios: The usefulness of meanvariance analysis |
| Lehti: | Journal of Banking and Finance
2003 : FEB, VOL 27:2, p. 327-349 |
| Asiasana: | Stock markets Currency Portfolio selection Risk Performance appraisal |
| Kieli: | eng |
| Tiivistelmä: | The study tests whether hedging currency risk improves the performance of international stock portfolios. It is shown that an auxiliary regression provides a wealth of information about the optimal portfolio holdings for non-meanvariance investors, analogous to the information provided by the Jensen regression about optimal portfolio holdings for the meanvariance case. It is found that static hedging with currency forwards does not lead to significant improvements in portfolio performance for a US-Dollar based stock portfolio from the G5 countries, whereas dynamic hedges that are conditional on the interest rate spread do. These conclusions hold for both meanvariance and power utility investors and show up both in-sample and out-of-sample. However, the optimal forward positions can differ significantly for both types of investors. |
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