A multinational examination of international equity and bond investment with currency hedging
✍ Scribed by Mark Eaker; Dwight Grant; Nelson Woodard
- Publisher
- John Wiley and Sons
- Year
- 1993
- Tongue
- English
- Weight
- 640 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
CCC 0270-73 14/93/030313-12 'For a more complete analysis of this subject and a description of competing ideas concerning the relationship between currency values and bond values see Solnik (1991), chapter 1.
3The cross product term cs complicates the expressions for expected return and variance, but does not add anything in analytical terms. Therefore, eqs. (2) and (3) drop it and are approximations.
4This article focuses on minimum risk portfolios. Mean returns are not included primarily because the mean return vector is less stable over time than the covariance matrix. Thus meanivariance results are likely to be sample specific.