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

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

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File URL: http://www.sciencedirect.com/science/article/B6VCY-44TD07Y-3/2/50139a19a25867d597c3e42a800970fb
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 27 (2003)
Issue (Month): 2 (February)
Pages: 327-349

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Handle: RePEc:eee:jbfina:v:27:y:2003:i:2:p:327-349
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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  1. Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of Security Market Data for Models of Dynamic Economies," NBER Technical Working Papers 0089, National Bureau of Economic Research, Inc.
  2. 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.
  3. Glen, Jack & Jorion, Philippe, 1993. " Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-86, December.
  4. 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.
  5. Bansal, Ravi & Dahlquist, Magnus, 1999. "The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies," CEPR Discussion Papers 2169, C.E.P.R. Discussion Papers.
  6. Peter J. Knez & Zhiwu Chen, 1998. "Portfolio Performance Measurement: Theory and Applications," Yale School of Management Working Papers ysm48, Yale School of Management.
  7. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
  8. Balduzzi, Pierluigi & Kallal, Hedi, 1997. " Risk Premia and Variance Bounds," Journal of Finance, American Finance Association, vol. 52(5), pages 1913-49, December.
  9. 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 245-51, March.
  10. 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.
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