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Is mean-variance analysis applicable to hedge funds?

✍ Scribed by William Fung; David A. Hsieh


Book ID
117333310
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
37 KB
Volume
62
Category
Article
ISSN
0165-1765

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Currency hedging for international stock
✍ Frans A. de Roon; Theo E. Nijman; Bas J.M. Werker πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 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