Conditional Currency Hedging
Type
conference lecture
Date Issued
2016-07-02
Author(s)
Abstract
This research proposes Conditional Currency Hedging based on FX risk factors to reduce total portfolio risk of given stock, bond or commodity portfolios. In our employed sample, a conditional currency hedging framework based on implied FX volatility results in lower variance of a global equity portfolio than achieved by either no, full or unconditional mean-variance hedging, both in- and out-of-sample. Further analysis with bond and commodity performance data will follow.
Language
English
Keywords
Currency Hedging
Currencies
Risk management
FX volatility
implied volatility
Conditional Hedging
HSG Classification
contribution to scientific community
HSG Profile Area
None
Event Title
2016 European Financial Management Association Annual Meeting
Event Location
Basel
Event Date
29.06.-02.07.2016
Contact Email Address
melk.bucher@unisg.ch
Eprints ID
248671
File(s)![Thumbnail Image]()
Name
CCH_BucherRanaldo_0702.pdf
Size
919.44 KB
Format
Adobe PDF
Checksum (MD5)
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