Hedging the exchange rate risk for international portfolios

DOI10.1016/j.matcom.2020.02.014OpenAlexW3007507316MaRDI QIDQ1998038

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

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

kernel density estimationexchange rate riskdifferential evolution algorithminternational portfolioshedging with currency options

Mathematics Subject Classification ID

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

Uses Software

• KernSmooth

Cites Work

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• The economic value of volatility timing using a range-based volatility model
• Estimating value at risk of portfolio by conditional copula-GARCH method
• Differential evolution. A practical approach to global optimization. With CD-ROM.
• The preferred hedge instrument
• Trade and currency options hedging model
• Currency hedging strategies using dynamic multivariate GARCH
• Coherent Measures of Risk
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Dual Stochastic Dominance and Related Mean-Risk Models

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