Volatility Overlay with FX Risk

4 Pages Posted: 6 May 2021

See all articles by Christoph Frey

Christoph Frey

Joh. Berenberg, Gossler & Co. KG; Lancaster University - Lancaster University Management School

Date Written: April 23, 2021

Abstract

We review the implications of combined volatility and FX overlay for a single and multi-asset portfolio. We show that the optimal portfolio solution requires the explicit distinction between FX and market risk hedging.

Keywords: Overlay, FX hedging, Multi-asset portfolio

JEL Classification: G11, G32

Suggested Citation

Frey, Christoph, Volatility Overlay with FX Risk (April 23, 2021). Available at SSRN: https://ssrn.com/abstract=3832584

Christoph Frey (Contact Author)

Joh. Berenberg, Gossler & Co. KG ( email )

Neuer Jungfernstieg 20
Hamburg, 20354
Germany

Lancaster University - Lancaster University Management School ( email )

Bailrigg
Lancaster, LA1 4YX
United Kingdom

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