Hedging the exchange rate risk in international portfolio diversification: currency forwards versus currency options
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Univ., Fachbereich Wirtschaftswiss.
2003
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| Series: | Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & accounting
109 |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 27 - 29 |
| Physical Description: | 31 S. graph. Darst. |
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| adam_text | Hedging the Exchange Rate Risk in International
Portfolio Diversification:
Currency Forwards versus Currency Options
by
Raimond Maurer and Shohreh Valiani
June 2003
Raimond Maurer
Professor for Investment, Portfolio Management and Pension Finance, School of Business
and Economics, Goethe University Frankfurt/M., 60054 Frankfurt, Germany
e mail: RMaurer@wiwi.uni frankfurt.de; web: www.finance.uni frankfurt.de
Shohreh Valiani (corresponding author)
Graduate Program Finance and Monetary Economics , School of Business and Economics,
Goethe University, Frankfurt am Main, Mertonstr. 17 21, D 60054 Germany,
email: valiani@wiwi.uni frankfurt.de; web: www.finance.uni frankfurt.de
Keywords: International Portfolio Diversification, Currency Hedging, FXDerivatives, Short¬
fall Risk
JEL:F31,G11,G15
Abstract
As past research suggest, currency exposure risk is a main source of overall risk of interna¬
tional diversified portfolios. Thus, controlling the currency risk is an important instrument for
controlling and improving investment performance of international investments. This study
examines the effectiveness of controlling the currency risk for international diversified mixed
asset portfolios via different hedge tools. Several hedging strategies, using currency forwards
and currency options, were evaluated and compared with each other. Therefore, the stock and
bond markets of the, United Kingdom, Germany, Japan, Switzerland, and the U.S, in the time
period of January 1985 till December 2002, are considered. This is done form the point of
view of a German investor. Due to highly skewed return distributions of options, the applica¬
tion of the traditional mean variance framework for portfolio optimization is doubtful when
options are considered. To account for this problem, a mean LPM model is employed. Cur¬
rency trends are also taken into account to check for the general dependence of time trends of
currency movements and the relative potential gains of risk controlling strategies.
|
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| series2 | Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & accounting |
| spelling | Maurer, Raimond 1964- Verfasser (DE-588)114231982 aut Hedging the exchange rate risk in international portfolio diversification currency forwards versus currency options Raimond Maurer ; Shohreh Valiani. [Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften] Frankfurt am Main Univ., Fachbereich Wirtschaftswiss. 2003 31 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & accounting 109 Literaturverz. S. 27 - 29 Valiani, Shohreh Verfasser aut Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften Working paper series Finance & accounting ; 109 (DE-604)BV012463173 109 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010503291&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Maurer, Raimond 1964- Valiani, Shohreh Hedging the exchange rate risk in international portfolio diversification currency forwards versus currency options |
| title | Hedging the exchange rate risk in international portfolio diversification currency forwards versus currency options |
| title_auth | Hedging the exchange rate risk in international portfolio diversification currency forwards versus currency options |
| title_exact_search | Hedging the exchange rate risk in international portfolio diversification currency forwards versus currency options |
| title_full | Hedging the exchange rate risk in international portfolio diversification currency forwards versus currency options Raimond Maurer ; Shohreh Valiani. [Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften] |
| title_fullStr | Hedging the exchange rate risk in international portfolio diversification currency forwards versus currency options Raimond Maurer ; Shohreh Valiani. [Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften] |
| title_full_unstemmed | Hedging the exchange rate risk in international portfolio diversification currency forwards versus currency options Raimond Maurer ; Shohreh Valiani. [Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften] |
| title_short | Hedging the exchange rate risk in international portfolio diversification |
| title_sort | hedging the exchange rate risk in international portfolio diversification currency forwards versus currency options |
| title_sub | currency forwards versus currency options |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010503291&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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