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Currency hedging for international stock portfolios: The usefulness of mean-variance analysis

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  • de Roon, Frans A.
  • Nijman, Theo E.
  • Werker, Bas J. M.

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  • de Roon, Frans A. & Nijman, Theo E. & Werker, Bas J. M., 2003. "Currency hedging for international stock portfolios: The usefulness of mean-variance analysis," Journal of Banking & Finance, Elsevier, vol. 27(2), pages 327-349, February.
  • Handle: RePEc:eee:jbfina:v:27:y:2003:i:2:p:327-349
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    References listed on IDEAS

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    1. Hansen, Lars Peter & Jagannathan, Ravi, 1991. "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 225-262, April.
    2. Bansal, Ravi & Dahlquist, Magnus, 2000. "The forward premium puzzle: different tales from developed and emerging economies," Journal of International Economics, Elsevier, vol. 51(1), pages 115-144, June.
    3. Glen, Jack & Jorion, Philippe, 1993. " Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-1886, December.
    4. Chen, Zhiwu & Knez, Peter J, 1996. "Portfolio Performance Measurement: Theory and Applications," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 511-555.
    5. Jobson, J D & Korkie, Bob, 1984. " On the Jensen Measure and Marginal Improvements in Portfolio Performance: A Note," Journal of Finance, American Finance Association, vol. 39(1), pages 245-251, March.
    6. Cumby, Robert E & Glen, Jack D, 1990. " Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June.
    7. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
    8. Nijman, T.E. & de Roon, F.A. & Werker, B.J.M., 2001. "Testing for Mean-Variance spanning with short sales constraints and transaction costs : The case of emerging markets," Other publications TiSEM f4a3551a-d7ae-4c22-8813-b, Tilburg University, School of Economics and Management.
    9. Jobson, J. D. & Korkie, Bob, 1982. "Potential performance and tests of portfolio efficiency," Journal of Financial Economics, Elsevier, vol. 10(4), pages 433-466, December.
    10. Balduzzi, Pierluigi & Kallal, Hedi, 1997. " Risk Premia and Variance Bounds," Journal of Finance, American Finance Association, vol. 52(5), pages 1913-1949, December.
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    Cited by:

    1. Kroencke, Tim A. & Schindler, Felix, 2012. "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1851-1866.
    2. Mansourfar, Gholamreza & Mohamad, Shamsher & Hassan, Taufiq, 2010. "The behavior of MENA oil and non-oil producing countries in international portfolio optimization," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 415-423, November.
    3. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
    4. Broll, Udo & Wong, Wing-Keung & Wu, Mojia, 2013. "Banking Firm and Two-Moment Decision Making," MPRA Paper 51687, University Library of Munich, Germany.
    5. Piljak, Vanja & Swinkels, Laurens, 2017. "Frontier and emerging government bond markets," Emerging Markets Review, Elsevier, vol. 30(C), pages 232-255.
    6. Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2014. "International Diversification Benefits with Foreign Exchange Investment Styles," Review of Finance, European Finance Association, vol. 18(5), pages 1847-1883.
    7. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014. "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 159-177.
    8. Mei Qiu & Pinfold & Rose, 2015. "A currency preferential approach to international equity investment," Applied Economics, Taylor & Francis Journals, vol. 47(49), pages 5247-5261, October.
    9. repec:eee:empfin:v:44:y:2017:i:c:p:250-269 is not listed on IDEAS
    10. van den Goorbergh, R.W.J. & de Roon, F.A. & Werker, B.J.M., 2003. "Economic Hedging Portfolios," Discussion Paper 2003-102, Tilburg University, Center for Economic Research.
    11. RENGIFO, Erick & ROMBOUTS, Jeroen, 2004. "Dynamic optimal portfolio selection in a VaR framework," CORE Discussion Papers 2004057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    12. Daskalaki, Charoula & Skiadopoulos, George & Topaloglou, Nikolas, 2017. "Diversification benefits of commodities: A stochastic dominance efficiency approach," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 250-269.
    13. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
    14. van den Goorbergh, R.W.J., 2004. "Essays on optimal hedging and investment strategies and on derivative pricing," Other publications TiSEM 4b4b16af-8621-463f-bbfa-0, Tilburg University, School of Economics and Management.
    15. Luis Berggrun, 2005. "Currency Hedging for a Dutch Investor: The Case of Pension Funds and Insurers," DNB Working Papers 054, Netherlands Central Bank, Research Department.
    16. Fernandez-Izquierdo, Angeles & Lafuente, Juan Angel, 2004. "International transmission of stock exchange volatility: Empirical evidence from the Asian crisis," Global Finance Journal, Elsevier, vol. 15(2), pages 125-137, August.
    17. Cheol S. Eun & Sandy Lai & Frans A. de Roon & Zhe Zhang, 2010. "International Diversification with Factor Funds," Management Science, INFORMS, vol. 56(9), pages 1500-1518, September.
    18. Kotkatvuori-Örnberg, Juha, 2016. "Dynamic conditional copula correlation and optimal hedge ratios with currency futures," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 60-69.
    19. Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society.
    20. Daskalaki, Charoula & Skiadopoulos, George, 2011. "Should investors include commodities in their portfolios after all? New evidence," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2606-2626, October.

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