Cubrir o no Cubrir: ¿Ese es el Dilema?
In this paper we analyze if currency hedging reduces risk. Based on historical data (1997- 2011) and using coherent measures of risk, we found that in equity portfolios it does not imply a reduction on risk. In contrast, for fixed-income portfolios the optimal hedging is 100%. Last finding is also robust to both USD and EUR portfolios
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Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile
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Feb 2012Date of revision:
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