Optimal currency hedging in- and out-of-sample
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DOI: 10.1057/jam.2008.36
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References listed on IDEAS
- Glen, Jack & Jorion, Philippe, 1993. "Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-1886, December.
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- Entrop, Oliver & Fuchs, Fabian U., 2020. "Foreign exchange rate exposure of companies under dynamic regret," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-40-20, University of Passau, Faculty of Business and Economics.
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Keywords
currency; hedging; mean-variance; optimisation; out-of-sample; hedge ratio;All these keywords.
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