## Abstract Foreign exchange hedging ratios are simultaneously estimated alongside freight and commodity ratios in a timeβvarying 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
Hedging foreign exchange risk with currency futures: Portfolio effects
β Scribed by Gregory J. Lypny
- Publisher
- John Wiley and Sons
- Year
- 1988
- Tongue
- English
- Weight
- 666 KB
- Volume
- 8
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
T w o recent studies [Hill and Schneeweis (H&S) (forthcoming) and Dale (1981)l
Support from the DePaul College of Commerce summer research grants program is gratefully 'Data are obtained from the IMM Yearbook, the CRB Commodity Yearbmk, and The Wall Street 'For a discussion of the various theoretical drawbacks of the mean-variance (risk-minimizing) acknowledged.
Beta-Moan-0.84118 STD -2 7 0 6 8 STD = 0.00570 0 9, Beta -Moan -0.94924 STD -0.06408 -Jj l ' I ' I ' I ' / ' l ' l ' I ' l ' l ' I ' l ' 1 ' I B Four-Week Ex Post Hedging Horizon 26 Week Estimation Period
ost empirical work and empirically oriented illustrations dealing with M the hedging effectiveness of futures contracts utilize either one of two approaches, namely: Risk minimization or payoff maximization. In the first approach, hedging is perceived as a combination of a futures position with an e