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- W2890774145 abstract "<h3>Practical Applications Summary</h3> How should multi-asset investors hedge their foreign currency risks? In <b>Currency-Hedging Optimization for Multi-Asset Portfolios</b>, published in the 2017 Multi-Asset Special Issue of <b><i>The Journal of Portfolio Management</i></b>, authors <b>Helen Guo</b> and <b>Laura Ryan</b> (both of PIMCO) demonstrate the advantages of currency-specific hedging versus uniform hedge ratios or asset-specific hedging. This constitutes a notable advance in the published literature on this subject, which has not generally considered the different risk/return characteristics of various currencies and has focused mostly on the United States. In this article, the authors compare currency-specific hedge ratios, uniform hedge ratios, and asset-specific hedge ratios for multi-asset (equity and bond) portfolios in three base currencies: the Australian dollar, the US dollar, and the Japanese yen. <b>TOPICS:</b>Portfolio construction, VAR and use of alternative risk measures of trading risk" @default.
- W2890774145 created "2018-09-27" @default.
- W2890774145 date "2019-03-01" @default.
- W2890774145 modified "2023-09-25" @default.
- W2890774145 title "Practical Applications of Currency-Hedging Optimization for Multi-Asset Portfolios" @default.
- W2890774145 doi "https://doi.org/10.3905/pa.6.3.295" @default.
- W2890774145 hasPublicationYear "2019" @default.
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