1 January 1994Financial Analysts JournalVolume 50, Issue 1
Modeling Currency Hedges in a Mean/Variance Framework
Currency hedges can lower the risk of an internationally diversified portfolio without changing its expected return. Often, however, hedges are not optimized simultaneously with the assets, or they are implemented indirectly by splitting each foreign asset into two fictitious assets, one representing the original asset in its local currency and one representing it in a base currency. A better approach is to implement currency hedges as separate pseudo-assets having their own weights, returns, risks and correlations.
Read the Complete Article in Financial Analysts Journal
Financial Analysts Journal
CFA Institute Member ContentPublisher Information
Association for Investment Management and Research
5 pages doi.org/10.2469/faj.v50.n1.57ISSN/ISBN: 0015-198X
Functional cookies, which are necessary for basic site functionality like keeping you logged in, are always enabled.