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- W2059049383 abstract "The most commonly cited argument against currency hedging is the assertion that foreign exchange risk washes out over the long run. But even if we set aside these facts and accept the view that foreign exchange risk washes out over long horizons, it does not necessarily follow that we should ignore the volatility introduced by currency exposure. It depends critically on how we perceive risk. This study reviews currency arithmetic and shows explicitly how exchange rate fluctuations affect a foreign asset9s risk. It also contains a derivation of the minimum risk and optimal exposures to currency forward contracts. The article presents two alternative approaches for measuring risk of loss, and it shows the effect of currency exposure on these two measures of risk of loss." @default.
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- W2059049383 date "2000-12-31" @default.
- W2059049383 modified "2023-09-25" @default.
- W2059049383 title "Currency Hedging and the Risk of Loss" @default.
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- W2059049383 doi "https://doi.org/10.3905/jai.2000.318963" @default.
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