OPTIMAL ASSET ALLOCATION AND CURRENCY HEDGING

Major objectives of an investor are to minimize risk
and maximize expected portfolio returns.
International diversification is a natural means to
these ends. We extend the search into the
area of currency hedging, investigating the theory
of demand for index bonds and its role in hedging
risky assets against currency risks for a given
market portfolio when equity is not hedged against
inflation risk. The major conclusions are: Introducing index bond into the analysis we
have expanded the investor s opportunity set with a
real asset. Clarifying the meaning of and relation
among various Universal Hedging Ratios that have
previously appeared in the literature. Explicitly identifies the necessary
conditions under which investors follow a common
currency hedging strategy and constructs a single
performance evaluation benchmark for international
portfolios, irrespective of the national identity of
the investor, in the presence of index bonds.
This book will be an aid to International
Portfolio Managers and Financial Managers. This book
can also be used as a resource for post-graduate
courses in International Finance and Risk Management.

Autorentext
.Ryle Perera is an academic in Finance at Macquarie University,Sydney. He obtained BS(Math),MS(Appl Math) at UNLV,USA and PhD (Financial Economics) through the School of Economics,UNSW,Sydney Australia. He has published some of the outcomes of his doctorial work [JAMF-2001] and has been a reviewer for quantitative finance journals.

Klappentext
Major objectives of an investor are to minimize risk and maximize expected portfolio returns. International diversification is a natural means to these ends. We extend the search into the area of currency hedging, investigating the theory of demand for index bonds and its role in hedging risky assets against currency risks for a given market portfolio when equity is not hedged against inflation risk. The major conclusions are:.Introducing index bond into the analysis we have expanded the investor's opportunity set with a real asset..Clarifying the meaning of and relation among various Universal Hedging Ratios that have previously appeared in the literature..Explicitly identifies the necessary conditions under which investors follow a common currency hedging strategy and constructs a single performance evaluation benchmark for international portfolios, irrespective of the national identity of the investor, in the presence of index bonds.This book will be an aid to International Portfolio Managers and Financial Managers. This book can also be used as a resource for post-graduate courses in International Finance and Risk Management.