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International Diversification and the Currency Hedging Decision


Marketed By :  VDM Verlag Dr. Müller   Sold By :  Kamal Books International  
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Rs. 3,651

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  • Product Description

This book investigates how U.S. investors can benefit from international diversification and how currency hedging affects internationally diversified portfolios. Based on data from 2004-2010, international hedged and unhedged efficient frontiers are formatted. Two optimization processes are performed, using twenty national stock index portfolios and fifteen currencies. Moreover, three different hedging strategies are tested. The results show that hedging one individual country index portfolio leads in general to lower levels of standard deviation (risk), but also to lower level of excess returns. Furthermore, in the presence of short sales constraints, there is evidence that U.S. investors, who diversify their portfolios in developed and emerging markets simultaneously, should hedge their exchange rate exposure for low levels of risk, but not for higher levels of risk. When comparing the unitary hedging strategy to the Black''s universal hedging strategy, the unitary hedging strategy performs slightly better.

Product Specifications
SKU :COC69238
AuthorKleanthis Sigeris
Number of Pages76
Publishing Year2011-02-23T00:00:00.000
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandVDM Verlag Dr. Müller
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00