最优货币对冲与套利交易

IF 3.6 Q1 BUSINESS, FINANCE Review of Accounting and Finance Pub Date : 2020-08-24 DOI:10.1108/raf-10-2018-0219
Fabio Filipozzi, Kersti Harkmann
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引用次数: 4

摘要

本文旨在研究投资者持有外币债券投资组合时不同对冲策略的效率。将最简单的无套期保值和完全套期保值策略与更复杂的普通最小二乘(OLS)策略和由动态条件相关-广义自回归条件异方差方法发现的最佳套期保值比率进行了比较。复杂的对冲策略优于简单的策略,因为它们降低了以本币计算的投资组合风险,提高了多资产组合的夏普比率。分析还显示,OLS和动态对冲策略都意味着持有有限的套息头寸,即做多高收益货币,做空低收益货币。本文使用比以往文献更现实的假设,包括每周频率和不卖空约束,对多货币投资组合的表现进行了检验。此外,套利交易被证明是最优投资组合的一部分。
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Optimal currency hedge and the carry trade
This paper aims to investigate the efficiency of different hedging strategies for an investor holding a portfolio of foreign currency bonds.,The simplest strategies of no hedge and fully hedged are compared with the more sophisticated strategies of the ordinary least squares (OLS) approach and the optimal hedge ratios found by the dynamic conditional correlation-generalised autoregressive conditional heteroskedasticity approach.,The sophisticated hedging strategies are found to be superior to the simple strategies because they lower the portfolio risk in domestic currency terms and improve the Sharpe ratios for multi-asset portfolios. The analyses also show that both the OLS and dynamic hedging strategies imply holding a limited carry position by being long in high-yielding currencies but short in low-yielding currencies.,The performance of multi-currency portfolios is examined using more realistic assumptions than in the previous literature, including a weekly frequency and a constraint of no short selling. Furthermore, carry trades are shown to be part of an optimal portfolio.
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来源期刊
CiteScore
4.30
自引率
0.00%
发文量
18
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