Evaluating the Performance of Foreign Exchange Hedges
AbstractAn evaluation of the performance of foreign exchange hedges shows that, in a mean-variance framework, fully hedging exchange risk does not improve the performance of a portfolio of international equities; however, dynamic strategies which incorporate market information on risk premiums in the forward market are shown to statistically improve performance.
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Bibliographic InfoPaper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 18-90.
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