Optimal Portfolio Selection and the Impact of Currency Hedging

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In this paper, the authors outline a mathematical foundation for the superior performance of currency hedged portfolios within a classical Markowitz mean-variance framework.  By restricitng the definition of performance to Sharpe Ratios, they look for insight into the fundamental relationship among currency, international assets, and hedge performance.

Authors: Bapi Maitra and Emmanuel Acar, Ph.D.

In this paper, the authors outline a mathematical foundation for the superior performance of currency hedged portfolios within a classical Markowitz mean-variance framework.  By restricitng the definition of performance to Sharpe Ratios, they look for insight into the fundamental relationship among currency, international assets, and hedge performance.

 

Optimal Portfolio Selection and the Impact of Currency Hedging

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The Journal of Performance Measurement

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