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• W2034540891 abstract "Abstract The paper derives rules for optimal hedged portfolios when the foreign spot exchange rate changes follow a mixed jump-diffusion process. The paper shows that the sign of the third-order derivative of the utility function plays a crucial role in differentiating the jump risk from the diffusion risk. The result of the paper is compared to earlier ones under a diffusion process for the foreign exchange rate changes. The paper also draws some important implications along the line of the issue of the time-varying risk premiums in the foreign exchange market. (JEL 431)." @default.
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• W2034540891 date "1993-10-01" @default.
• W2034540891 modified "2023-09-23" @default.
• W2034540891 title "Optimal hedged portfolios: the case of jump-diffusion risks" @default.
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• W2034540891 doi "https://doi.org/10.1016/0261-5606(93)90036-b" @default.
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