Alain Bergeron

Mackenzie Investments

180 Queen Street West

Toronto,, ON M5V 3K1

Canada

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Scholarly Papers (1)

1.

Optimal Currency Hedging: Horizon Matters

MIT Sloan Research Paper No. 5810-19, June 2019
Number of pages: 18 Posted: 14 Jun 2019
Nelson Arruda, Alain Bergeron and Mark Kritzman
Mackenzie Investments, Mackenzie Investments and Massachusetts Institute of Technology (MIT) - Sloan School of Management
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Abstract:

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Auto-correlation, Cross-correlation, Interval error, Mean-variance optimization, Optimal currency hedge ratio