Managing currencies in international portfolios:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2000
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 139 S. graph. Darst. |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Contents
1. Introduction 3
2. The Demand for Currencies in International Portfolio Selection Theory 5
2.1. Introduction 5
2.2. Assumptions and Definitions 5
2.3. Optimal Portfolio Holdings 9
2.4. Interpretation of Optimal Currency Demands 13
2.5. Universal Regression Currency Hedge Ratios 15
2.6. Allocation in the Presence of Nontraded Assets and Currency Overlays 20
2.7. The Existence of a Real Riskless Asset and Optimal Portfolio Holdings in
Real Terms 22
2.8. Endogenous Real Exchange Rates 24
3. Holdings and Yield of Currencies in Equilibrium 27
3.1. Introduction 27
3.2. The Holding of Currencies in a World Market Equilibrium 28
3.3. Universal Equilibrium Currency Hedge Ratios 31
3.4. Equilibrium Yield Relationships 35
3.5. Equilibrium Asset Pricing and Money Illusion 38
3.6. Currencies as a Pricing Instrument 39
3.7. Equilibrium Asset Pricing with a Real Riskless Asset, in Real Terms and
with Endogenous Real Exchange Rates 40
3.8. The Pricing of Exchange Rate Risk 42
4. Implementing Optimal Currency Hedges 45
4.1. Introduction 45
4.2. Existing Literature 47
4.3. Potential Econometric Problems at Issue 49
4.4. Data Description 55
4.5. Static OLS and GARCH Hedging Strategies 57
4.6. The Universality of Currency Hedge Portfolios 62
4.7. RCAR Hedging Strategies 64
4.8. Dynamic BGARCH Hedging Strategies 67
4.9. In and Out of Sample Performance of Regression Hedged Portfolios 70
4.10. Annexe: Tables and Figures 74
5. Forecasting Currency Returns 90
5.1. Introduction 90
5.2. Existing Literature 91
5.3. Data Description 94
5.4. Linear Forecasting Models 95
5.5. Tests of Currency Speculation Using Conditioning Information 99
5.6. Annexe: Tables and Figures 106
1
6. Currency Management in a Total Portfolio Context 111
6.1. Introduction 111
6.2. Existing Literature 112
6.3. Tests of Performance Improvement 113
6.4. Data Description 115
6.5. Performance Comparison of Portfolios with and without Currencies 115
6.6. Annexe: Tables and Figures 121
7. Additional Practical Issues 127
7.1. Introduction 127
7.2. Forwards, Futures or Options? 127
7.3. Currency Benchmark Selection 128
8. Summary 131
References 133
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| indexdate | 2024-07-09T18:40:48Z |
| institution | BVB |
| language | English |
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| spelling | Müller, Urban Verfasser aut Managing currencies in international portfolios vorgelegt von Urban Müller 2000 139 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2000 Währungsmanagement / Portfolio-Management / International / Theorie Währungsrisiko (DE-588)4064157-0 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Devisenspekulation (DE-588)4194726-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Hedging (DE-588)4123357-8 s Währungsrisiko (DE-588)4064157-0 s Devisenspekulation (DE-588)4194726-5 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008997902&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Müller, Urban Managing currencies in international portfolios Währungsmanagement / Portfolio-Management / International / Theorie Währungsrisiko (DE-588)4064157-0 gnd Hedging (DE-588)4123357-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Devisenspekulation (DE-588)4194726-5 gnd |
| subject_GND | (DE-588)4064157-0 (DE-588)4123357-8 (DE-588)4046834-3 (DE-588)4194726-5 (DE-588)4113937-9 |
| title | Managing currencies in international portfolios |
| title_auth | Managing currencies in international portfolios |
| title_exact_search | Managing currencies in international portfolios |
| title_full | Managing currencies in international portfolios vorgelegt von Urban Müller |
| title_fullStr | Managing currencies in international portfolios vorgelegt von Urban Müller |
| title_full_unstemmed | Managing currencies in international portfolios vorgelegt von Urban Müller |
| title_short | Managing currencies in international portfolios |
| title_sort | managing currencies in international portfolios |
| topic | Währungsmanagement / Portfolio-Management / International / Theorie Währungsrisiko (DE-588)4064157-0 gnd Hedging (DE-588)4123357-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Devisenspekulation (DE-588)4194726-5 gnd |
| topic_facet | Währungsmanagement / Portfolio-Management / International / Theorie Währungsrisiko Hedging Portfolio Selection Devisenspekulation Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008997902&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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