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Behavioral currency hedging for international portfolios

✍ Scribed by Kurtay Ogunc

Book ID
116577348
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
178 KB
Volume
17
Category
Article
ISSN
1057-5219

No coin nor oath required. For personal study only.

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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