International Portfolios in Consideration of Currency Risk and Hedging. Contribution of Currencies and of Static Hedging for European Risk-Averse Investors

      Аннотация: Based on a 15-years period with daily frequency data, this work aims to explain the effect of various static hedging strategies mixed portfolios for a European risk-averse investor who considers investments in stock and bond indices in five different currencies (Euro, U.S. Dollar, British Pound, Yen and Swiss Franc). The discussion focuses on risk management but also compares the portfolios performances, considering various indicators such as volatility, VaR, CVaR and the portfolios returns. The work also introduces a comparison between unhedged optimised portfolios and hedged portfolios, using short-time rolling positions on forward contracts on currency exchange rates to cover the risk for a 5-years holding period.

Ключевые слова: Bonds, currency, forwards, Hedging, Portfolio, Risk, stocks