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Currency hedging for international stock portfolios: The usefulness of mean–variance analysis

✍ Scribed by Frans A. de Roon; Theo E. Nijman; Bas J.M. Werker


Book ID
117528391
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
180 KB
Volume
27
Category
Article
ISSN
0378-4266

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Currency hedging for international stock
✍ Frans A. de Roon; Theo E. Nijman; Bas J.M. Werker 📂 Article 📅 2003 🏛 Elsevier Science 🌐 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