Download This PaperVolatility Overlay with FX Risk
4 Pages Posted: 6 May 2021
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: Suggested Citation
Frey, Christoph, Volatility Overlay with FX Risk (April 23, 2021). Available at SSRN: https://ssrn.com/abstract=3832584
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