OPTIMAL ASSET ALLOCATION AND CURRENCY HEDGING : ROLE OF INDEX BONDS

ISBN-13: 9783639002867 / Angielski / Miękka / 2009 / 140 str.

Ryle Perera

Opis

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.

O autorze

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.