Currency hedging for international stock
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Frans A. de Roon; Theo E. Nijman; Bas J.M. Werker
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Article
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2003
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Elsevier Science
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English
⚖ 180 KB
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