Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Dynamic Currency Hedging with Non-Gaussianity and Ambiguity |
| Organization Unit | |
| Authors |
|
| Language |
|
| Institution | University of Zurich |
| Series Name | Swiss Finance Institute Research Paper |
| Number | 21-60 |
| Number of Pages | 43 |
| Date | 2023 |
| Abstract Text | This paper introduces a non-Gaussian dynamic currency hedging strategy for globally diversified investors with ambiguity. Assuming that ambiguity of a typical investor can be measured from market data, we associate it to non-Gaussianity of financial asset returns and compute an optimal ambiguity-adjusted mean-variance (dynamic) currency allocation. Next, we extend the filtered historical simulation method to numerically optimize an arbitrary risk measure, such as the expected shortfall. The out-of-sample backtest results show that the derived non-Gaussian dynamic currency hedging strategy outperforms the benchmarks of constant hedging and dynamic hedging with Gaussianity for all base currencies and net of transaction costs. |
| Free access at | DOI |
| Digital Object Identifier | 10.2139/ssrn.3906716 |
| Other Identification Number | merlin-id:21421 |
| PDF File |
Download from ZORA
|
| Export |
BibTeX
EP3 XML (ZORA)
|