Optimal currency hedging

被引：7

作者：

Albuquerque, Rui ^{[1
]}

机构：

[1] Boston Univ, Sch Management, 595 Commonwealth Ave, Boston, MA 02215 USA

来源：

GLOBAL FINANCE JOURNAL | 2007年 / 18卷 / 01期

关键词：

Currency hedging; Forwards; Options; Bankruptcy costs; Taxes; Loss aversion; Downside risk;

D O I：

10.1016/j.gfj.2006.09.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper characterizes optimal currency hedging in several models of downside risk. We consider, in turn, three models of hedging: (i) a firm that chooses its hedging policy in the presence of bankruptcy costs; (ii) an all-equity firm that faces a convex tax schedule; and (iii) a firm whose manager is subject to loss aversion. In all these models, and contrary to conventional wisdom, we show that forwards dominate options as hedges of downside risk. (C) 2007 Elsevier Inc. All rights reserved.

引用

页码：16 / 33

页数：18

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