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Hedging foreign currency portfolios

✍ Scribed by Louis Gagnon; Gregory J. Lypny; Thomas H. McCurdy

Book ID
117628301
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
288 KB
Volume
5
Category
Article
ISSN
0927-5398

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## Abstract Foreign exchange hedging ratios are simultaneously estimated alongside freight and commodity ratios in a time‐varying portfolio framework. Foreign exchange futures are by far the most important derivative instrument used to reduce uncertainty for traders. Our results lend support to the