Hedging the exchange rate risk for international portfolios

DOI10.1016/J.MATCOM.2020.02.014MaRDI QIDQ1998038zbMATH OpenOpenAlexFDO

Authors Xing Yu, Wei-Guo Zhang, Yong-Jun Liu, Xinxin Wang, Chao Wang

Publication date 6 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2020.02.014

zbMATH Keywords

differential evolution algorithmexchange rate riskhedging with currency optionsinternational portfolioskernel density estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• Coherent measures of risk
• Currency hedging strategies using dynamic multivariate GARCH
• Differential evolution. A practical approach to global optimization. With CD-ROM.
• Dual Stochastic Dominance and Related Mean-Risk Models
• Estimating value at risk of portfolio by conditional copula-GARCH method
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Some remarks on the value-at-risk and the conditional value-at-risk
• The economic value of volatility timing using a range-based volatility model
• The preferred hedge instrument
• Trade and currency options hedging model

Cited in

(7)

• Robust hedging strategies
• Hedging model with cross-currency options based on copula-GARCH method
• EXPORT AND HEDGING DECISIONS UNDER CORRELATED REVENUE AND EXCHANGE RATE RISK
• scientific article; zbMATH DE number 5305359 (Why is no real title available?)
• The role of index bonds in universal currency hedging
• Is Currency Risk Priced in Global Equity Markets?*
• International portfolio selection model with exchange rate risk

Describes a project that uses

Uses Software

• KernSmooth

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