Currency hedging in emerging market investments
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/73504 |
Resumo: | This paper investigates whether currencies enhance performance of portfolios diversified over a number of different international markets from the perspective of an American based investor and determines what is the source and the extend of the added value. While the US market is considered to be the largest in the world, emerging markets are smaller, more volatile and contain more inherent risks but they do present huge potential and diversification opportunities for investors. Hence adding these foreign investments into their portfolios present risk reduction benefits for investors but it exposes them to the notion of currency risk. Hedging currency exposure could help mitigate those risks but it at what cost? It is indeed shown that hedging levels have different impacts on performance but also on the volatility associated with those investments. This paper aims at showing this risk-return dilemma, and explore optimal hedging strategies to mitigate against currency exposures in American emerging markets. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Currency hedging in emerging market investmentsMinimum-variance hedge ratio (MVHR)Emerging market (EM)Forward premiumOptimal hedging ratioDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper investigates whether currencies enhance performance of portfolios diversified over a number of different international markets from the perspective of an American based investor and determines what is the source and the extend of the added value. While the US market is considered to be the largest in the world, emerging markets are smaller, more volatile and contain more inherent risks but they do present huge potential and diversification opportunities for investors. Hence adding these foreign investments into their portfolios present risk reduction benefits for investors but it exposes them to the notion of currency risk. Hedging currency exposure could help mitigate those risks but it at what cost? It is indeed shown that hedging levels have different impacts on performance but also on the volatility associated with those investments. This paper aims at showing this risk-return dilemma, and explore optimal hedging strategies to mitigate against currency exposures in American emerging markets.Boons, MartijnChague, Fernando DanielRUNJamil, Mehdi2019-06-24T15:27:31Z2019-01-152019-01-15T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/73504TID:202226174enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:34:02Zoai:run.unl.pt:10362/73504Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:35:20.620061Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Currency hedging in emerging market investments |
title |
Currency hedging in emerging market investments |
spellingShingle |
Currency hedging in emerging market investments Jamil, Mehdi Minimum-variance hedge ratio (MVHR) Emerging market (EM) Forward premium Optimal hedging ratio Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Currency hedging in emerging market investments |
title_full |
Currency hedging in emerging market investments |
title_fullStr |
Currency hedging in emerging market investments |
title_full_unstemmed |
Currency hedging in emerging market investments |
title_sort |
Currency hedging in emerging market investments |
author |
Jamil, Mehdi |
author_facet |
Jamil, Mehdi |
author_role |
author |
dc.contributor.none.fl_str_mv |
Boons, Martijn Chague, Fernando Daniel RUN |
dc.contributor.author.fl_str_mv |
Jamil, Mehdi |
dc.subject.por.fl_str_mv |
Minimum-variance hedge ratio (MVHR) Emerging market (EM) Forward premium Optimal hedging ratio Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Minimum-variance hedge ratio (MVHR) Emerging market (EM) Forward premium Optimal hedging ratio Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This paper investigates whether currencies enhance performance of portfolios diversified over a number of different international markets from the perspective of an American based investor and determines what is the source and the extend of the added value. While the US market is considered to be the largest in the world, emerging markets are smaller, more volatile and contain more inherent risks but they do present huge potential and diversification opportunities for investors. Hence adding these foreign investments into their portfolios present risk reduction benefits for investors but it exposes them to the notion of currency risk. Hedging currency exposure could help mitigate those risks but it at what cost? It is indeed shown that hedging levels have different impacts on performance but also on the volatility associated with those investments. This paper aims at showing this risk-return dilemma, and explore optimal hedging strategies to mitigate against currency exposures in American emerging markets. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-06-24T15:27:31Z 2019-01-15 2019-01-15T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/73504 TID:202226174 |
url |
http://hdl.handle.net/10362/73504 |
identifier_str_mv |
TID:202226174 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799137974637559808 |