Abstract

http://ssrn.com/abstract=2268559
 
 

References (14)



 


 



Which Currency Hedging Strategy is Best?


Wei Chen


State Street Corporate - State Street Associates

Mark Kritzman


Massachusetts Institute of Technology (MIT) - Sloan School of Management

David Turkington


State Street Associates

May 13, 2013

MIT Sloan Research Paper No. 5003-13

Abstract:     
Informed investors understand that they should hedge at least some of their portfolios’ currency exposure, but the best strategy for doing so remains an open question. We investigate a variety of currency hedging strategies, including linear strategies, non-linear strategies, and combinations thereof, for the purpose of helping investors determine which strategies best meet their objectives.

Number of Pages in PDF File: 37

Keywords: Basket option, Continuous value at risk, Cross hedging, First passage probability, Full-scale optimization, Kinked utility function, Linear hedging strategy, Mahalanobis distance, Non-linear hedging strategy, Turbulence, Within-horizon risk

JEL Classification: C61, F31, G11, G12, G13, G15

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Date posted: May 22, 2013  

Suggested Citation

Chen, Wei and Kritzman, Mark and Turkington, David, Which Currency Hedging Strategy is Best? (May 13, 2013). MIT Sloan Research Paper No. 5003-13. Available at SSRN: http://ssrn.com/abstract=2268559 or http://dx.doi.org/10.2139/ssrn.2268559

Contact Information

Wei Chen
State Street Corporate - State Street Associates ( email )
United States
Mark Kritzman (Contact Author)
Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )
77 Massachusetts Ave.
E62-416
Cambridge, MA 02142
United States
David Turkington
State Street Associates ( email )
United States
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