Στρατηγικές αντιστάθμισης συναλλαγματικού κινδύνου
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Keywords
Αντιστάθμιση ; Συνάλλαγμα ; ΚίνδυνοςAbstract
In this paper we test whether hedging currency risk improves the performance of international equity and bond portfolios. We show through two different regression models (estimated by the OLS method) that there are a number of different optimal hedge ratios which are different from the classic full hedge or no hedge ratios and depend on the information with which each model will be evaluated with the best portfolio. These results apply to both models, which are the model of one country and one investor and also the model of one investor in many countries. Finally, a future reference is made to possible extensions of the present study, which is based on the results of the estimated models.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
56Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές