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Active currency management of international bond portfolios

✍ Scribed by Konstantinov, Gueorgui

Book ID
121557393
Publisher
Springer US
Year
2014
Tongue
English
Weight
457 KB
Volume
28
Category
Article
ISSN
1555-4961

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We test whether hedging currency risk improves the performance of international stock portfolios.We show that an auxiliary regression provides a wealth of information about the optimal portfolio holdings for non-mean-variance investors, analogous to the information provided by the Jensen regression