International Portfolios in Consideration of Currency Risk and Hedging

Contribution of Currencies and of Static Hedging for European Risk-Averse Investors
AV Akademikerverlag
  • erschienen am 13. Januar 2018
  • Buch
  • |
  • Softcover
  • |
  • 80 Seiten
978-620-2-20841-3 (ISBN)
Based on a 15-years period with daily frequency data, this work aims to explain the effect of various static hedging strategies mixed portfolios for a European risk-averse investor who considers investments in stock and bond indices in five different currencies (Euro, U.S. Dollar, British Pound, Yen and Swiss Franc). The discussion focuses on risk management but also compares the portfolios performances, considering various indicators such as volatility, VaR, CVaR and the portfolios returns. The work also introduces a comparison between unhedged optimised portfolios and hedged portfolios, using short-time rolling positions on forward contracts on currency exchange rates to cover the risk for a 5-years holding period.
  • Englisch
  • Höhe: 220 mm
  • |
  • Breite: 150 mm
  • |
  • Dicke: 5 mm
  • 136 gr
978-620-2-20841-3 (9786202208413)
620-2-20841-4 (6202208414)
Bachelor degree in International Commerce at the Ca' Foscari University of Venice. Master degree in Finance at the University of Trento (Italy), with a double degree programme in Volkswirtschaftslehre at the Technische Universität Dresden, where the thesis has been written and the relative research has been discussed.

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