Essays about: "international portfolio currency hedging"

Found 5 essays containing the words international portfolio currency hedging.

1. 1. European Investor Currency Hedging: Forwards or Options in International Portfolios

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Yan Xu; [2014]
   Keywords : international portfolio currency hedging; hedging instruments; currency forward contracts; currency put options; optimal portfolio; CVaR; Business and Economics;

   Abstract : The hedging effectiveness of currency forward contracts and currency put option for three different portfolios—Portfolio of Emerging Markets, Portfolio of Developed Countries, and the International Portfolio—are examined from the viewpoint of European investors. European Union (EU), United States (US), United Kingdom (UK), Switzerland (SF), Sweden (SE), Denmark (DK), Norway (NK), and Japan (JAP) are considered in the developed countries. READ MORE

3. 2. Forwards versus Options: Effectiveness in Hedging Currency Risk in International Portfolios

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Cecilia Alvarado-Vargas; Khwanchanok Kessakorn; [2013]
   Keywords : Currency Hedging; International Portfolios Diversification; Currency Forward Contracts; Currency Put Options.; Business and Economics;

   Abstract : This paper aims to examine effectiveness of currency hedging of forward contracts and options in international portfolio, consisting of assets denominated in Chinese Yuan and Indian Rupee. Instead of applying Markowitz’s portfolio optimization, mean-CVaR framework is used in order to deal with non-normality of return of financial assets as well as exchange rates. READ MORE

4. 3. Exchange rate hedging of equity portfolios: evaluation of an OLS approach

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Johan Blixt; [2008]
   Keywords : Currency hedging; equity portfolios; Sweden;

   Abstract : With an increasing level of international diversification in equity portfolios comes an increase in the importance of the implicit foreign exchange rate exposure. While purchasing power parity might hold in the longer run it is evident that exchange rate movements can have sizable effects on portfolio returns at conventional time horizons. READ MORE

5. 4. The attraction of foreign government bonds from the perspective of swedish investors

   University essay from Handelshögskolan vid Umeå universitet

   Author : Erik Machac; Renato Cucurnia; [2007]
   Keywords : government bond; swedish bond market; yield curve; foreign currency risk; hedging; efficient frontier; random walk;

   Abstract : Even though today´s world unwinds on the increasing way of the globalisation, investors are aware of the possibilities the international markets offer and distance is not an issue any more, they are still governed by the “home bias factor“. This phenomenon implies that investors tend to prefer investing in domestic securities rather than entering the global market. READ MORE

6. 5. CURRENCY HEDGED INTERNATIONAL EQUITY INVESTMENTS: FROM THE PERSPECTIVES OF SWEDISH AND AMERICAN INVESTORS

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Erik Arebro; Sanna Tunsbrunn; [2005]
   Keywords : Hedging; Currency risk; Equity indices; Forwards;

   Abstract : Using time-series data for 20 major countries over the period 1993–2004 we examine the risk performance of international equity portfolios with full and reduced amounts of exchange rate exposure. The study is performed from the perspectives of both Swedish and American investors. READ MORE