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Exploration of the role of expectations in foreign exchange risk management

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  • Bhargava, Vivek
  • Brooks, Robert

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  • Bhargava, Vivek & Brooks, Robert, 2002. "Exploration of the role of expectations in foreign exchange risk management," Journal of Multinational Financial Management, Elsevier, vol. 12(2), pages 171-189, April.
  • Handle: RePEc:eee:mulfin:v:12:y:2002:i:2:p:171-189
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    References listed on IDEAS

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    1. Benninga, Simon & Blume, Marshall E, 1985. "On the Optimality of Portfolio Insurance," Journal of Finance, American Finance Association, vol. 40(5), pages 1341-1352, December.
    2. Whitmore, G A, 1970. "Third-Degree Stochastic Dominance," American Economic Review, American Economic Association, vol. 60(3), pages 457-459, June.
    3. Bell,David E. & Raiffa,Howard & Tversky,Amos (ed.), 1989. "Decision Making," Cambridge Books, Cambridge University Press, number 9780521368513.
    4. Levy, Haim, 1985. "Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach," Journal of Finance, American Finance Association, vol. 40(4), pages 1197-1217, September.
    5. Simon Benninga & Marshall Blume, "undated". "On the Optimality of Portfolio Insurance," Rodney L. White Center for Financial Research Working Papers 5-85, Wharton School Rodney L. White Center for Financial Research.
    6. G. Hanoch & H. Levy, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Oxford University Press, vol. 36(3), pages 335-346.
    7. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    8. Booth, James R. & Tehranian, Hassan & Trennepohl, Gary L., 1985. "Efficiency Analysis and Option Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(4), pages 435-450, December.
    9. Perrakis, Stylianos & Ryan, Peter J, 1984. "Option Pricing Bounds in Discrete Time," Journal of Finance, American Finance Association, vol. 39(2), pages 519-525, June.
    10. Simon Benninga & Marshall Blume, "undated". "On the Optimality of Portfolio Insurance," Rodney L. White Center for Financial Research Working Papers 05-85, Wharton School Rodney L. White Center for Financial Research.
    11. William C. Hunter & Stephen G. Timme, 1992. "A Stochastic Dominance Approach to Evaluating Foreign Exchange Hedging Strategies," Financial Management, Financial Management Association, vol. 21(3), Fall.
    12. Conover, James A. & Dubofsky, David A., 1995. "Efficient Selection of Insured Currency Positions: Protective Puts vs. Fiduciary Calls," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(2), pages 295-312, June.
    13. Robert Brooks, 1991. "Analyzing portfolios with derivative assets: A stochastic dominance approach using numerical integration," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(4), pages 411-440, August.
    14. Ritchken, Peter H, 1985. "On Option Pricing Bounds," Journal of Finance, American Finance Association, vol. 40(4), pages 1219-1233, September.
    15. Levy, Haim & Kroll, Yoram, 1976. "Stochastic Dominance with Riskless Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(5), pages 743-777, December.
    16. Brooks, Robert, 1989. "Investment Decision Making with Derivative Securities," The Financial Review, Eastern Finance Association, vol. 24(4), pages 511-527, November.
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    Cited by:

    1. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.

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