Relevant bibliographies by topics / Currency hedging

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Currency hedging'

Author: Grafiati
Published: 4 June 2021
Last updated: 19 February 2022

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Journal articles on the topic "Currency hedging"

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MacIsaac, Keith Joseph. "Global Currency Hedging." CFA Digest 40, no. 2 (May 2010): 68–70. http://dx.doi.org/10.2469/dig.v40.n2.17.

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Bucher, Melk C. "Conditional currency hedging." Financial Management 49, no. 4 (September 29, 2019): 897–923. http://dx.doi.org/10.1111/fima.12287.

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Dales, A., and R. Meese. "Strategic currency hedging." Journal of Asset Management 2, no. 1 (June 2001): 9–21. http://dx.doi.org/10.1057/palgrave.jam.2240031.

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CAMPBELL, JOHN Y., KARINE SERFATY-DE MEDEIROS, and LUIS M. VICEIRA. "Global Currency Hedging." Journal of Finance 65, no. 1 (January 13, 2010): 87–121. http://dx.doi.org/10.1111/j.1540-6261.2009.01524.x.

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Albuquerque, Rui. "Optimal currency hedging." Global Finance Journal 18, no. 1 (January 2007): 16–33. http://dx.doi.org/10.1016/j.gfj.2006.09.002.

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Rahman, Aisyah Abdul, and Raudha Md Ramli. "Islamic Cross Currency Swap (ICCS): hedging against currency fluctuations." Emerald Emerging Markets Case Studies 5, no. 4 (July 14, 2015): 1–12. http://dx.doi.org/10.1108/eemcs-09-2014-0215.

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Subject areaThe case is suitable for use in the topics related to the functions and roles of hedging and the Islamic derivatives/hedging instruments.Study level/applicabilityThe case is designed for undergraduate students, taking courses in Islamic Banking, Islamic Finance and Risk Management for Islamic Banking Institutions.Case overviewThis case describes the theory and application of Islamic Cross Currency Swap (ICCS) in the market. Having this understanding enables case analysts to understand the functions and roles of hedging and the Islamic derivatives or hedging instruments of ICCS comprehensively. The case begins with Yusof, the new finance officer of Al-Yemeni Sdn. Bhd to analyse the permissibility of hedging and derivatives to hedge against currency fluctuations from Islamic perspective. Yusof had to complete the report before the Board of Director's quarterly meeting, which was within a week. Having in mind that the company's mission was to be a Shariah-compliant stock by 2012, Yusof was responsible for ensuring that the company was administrated in an Islamic way. Besides, he also had to ensure that the company generated income and profit as planned. In doing so, he had to strategise all possible risk exposures that could be mitigated or hedged. This case ends by giving the case analyst information on ICCS offered by Al-Rizky Bank Berhad (ARBB). In this case, Yusof had to find out whether hedging is allowed in Islam. What are the Islamic derivatives? What are the different views of Shariah scholars on various types of derivatives? What is themodus operandiof ICCS? Is the ICCS offered by ARBB Shariah compliant? What are the possible risk exposures being hedged in ICCS?Expected learning outcomesTo provide exposure on the concepts of hedging from Islamic perspectives; to provide exposure on the concepts of Islamic derivatives/Islamic hedging instruments; to stimulate understanding on themodus operandiof ICCS in ARBB; and to help case analysts understand what makes the Islamic hedging instruments become Shariah compliant.Supplementary materialsTeaching notes are available for educators only. Please contact your library to gain login details or emailsupport@emeraldinsight.comto request teaching notes.
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Terry, Eric. "Indirect Currency Futures Hedging." Journal of Business and Policy Research 11, no. 1 (July 2016): 1–15. http://dx.doi.org/10.21102/jbpr.2016.07.111.01.

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Gagnon, Louis, Gregory J. Lypny, and Thomas H. McCurdy. "Hedging foreign currency portfolios." Journal of Empirical Finance 5, no. 3 (September 1998): 197–220. http://dx.doi.org/10.1016/s0927-5398(97)00018-2.

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Lioui, Abraham, and Patrice Poncet. "Optimal currency risk hedging." Journal of International Money and Finance 21, no. 2 (April 2002): 241–64. http://dx.doi.org/10.1016/s0261-5606(01)00045-6.

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Yu, Xing, Yanyin Li, and Zhongkai Wan. "Dynamic Currency Futures and Options Hedging Model." Mathematical Problems in Engineering 2019 (July 1, 2019): 1–11. http://dx.doi.org/10.1155/2019/8074384.

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In this paper, we consider a risk averse competitive firm that adopts currency futures and options for hedging purpose. Based on the assumption of unbiased markets of currency futures and options, we propose the optimal hedging model in dynamic setting. By using two-stage optimization method, we prove that it is desirable for the prudent enterprise to buy exchange rate options to hedge currency risk. Furthermore, we derive the closed-form solutions of the multiperiod hedging problem with the quadratic utility function. We investigate an empirical study incorporated into GARCH-t prediction on the efficiency of hedging with currency futures and options. The empirical results demonstrate that hedging with currency futures and options can reduce the silver export firm’s risk exposure. Profits and the effective boundaries are compared in three cases: hedging with futures and options synchronously, only with futures and without any hedge. The results of multiple comparisons among different hedging strategies show that hedging with linear and nonlinear derivatives is advisable for the export firm.
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Dissertations / Theses on the topic "Currency hedging"

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Parapoulis, Panagiotis. "Hedging foreign currency options." Thesis, University of Reading, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.317577.

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Jakutis, Aurimas. "Mutual fund's currency risk hedging." Bachelor's thesis, Lithuanian Academic Libraries Network (LABT), 2009. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20090403_124219-25175.

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Mutual funds currency risk management is analyzed in this bachelor paper. It aims to analyze hedging by currency forward and options under different hedge ratios and various durations of the contracts. Afterwards the outcome is compared to non-hedging. After comparing hedging on six emerging markets equity indexes, it is concluded, that fund managers should hedge not all the time, but only when they expect foreign currency to depreciate. It is shown that forward contracts are better means than options for currency risk insurance purposes. Moreover, it is demonstrated that hedging with the shortest duration forward contracts is most effective and it is recommended to use the hedge ratio of 50 %.
Bakalauro baigiamajame darbe yra analizuojama valiutų rizikos valdymas investiciniuose fonduose. Darbe analizuojamas valiutų rizikos draudimas ateities ir pasirinkimo sandoriais, bei gauti rezultatai palyginti su rezultatais kai rizika nebuvo valdoma. Išanalizavus šešių besivystančių rinkų akcijų indeksų valiutos draudimą, buvo prieita išvados, jog fondų valdytojai valiutą turėtų drausti ne nuolatos, o tik kai jie tikisi jog užsienio valiuta silpnės. Be to, darbe parodoma, jog valiutų draudimas ateities sandoriais yra geresnis būdas valdyti valiutos riziką nei kad pasirinkimo sandoriai. Taip pat pademonstruojama, jog trumpiausio periodo ateities sandoriai yra efektyviausi valiutų rizikos valdymo tikslais bei rekomenduojama naudoti 50 % draudimo koeficientą.
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Buck, Alexander Wolfram. "Cross-currency hedging with multiple options." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/19379.

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Submitted by Alexander Buck (alexanderwolfram.buck@student.unisg.ch) on 2017-12-13T18:40:57Z No. of bitstreams: 1 Alexander Buck_Masters Thesis.pdf: 814162 bytes, checksum: 581ec59995af7545d603be8b2da6e30e (MD5)
Rejected by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br), reason: Dear Alexander, There are some corrections to do in your thesis, please, see below: Page 2: in Knowledge Field, put your advisor field: Economia E Finanças Internacionais; Page 4: in Knowledge Field, put your advisor field: Economia E Finanças Internacionais; ACKNOWLEDGMENT, Abstract, Resumo and Contents must be in capital letters and in the middle of the page. After corrections, please, post again. on 2017-12-14T11:20:17Z (GMT)
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Made available in DSpace on 2017-12-14T12:31:14Z (GMT). No. of bitstreams: 1 Alexander Buck_Masters Thesis.pdf: 814627 bytes, checksum: 3f642bd3522c9184319e19ef0fc4d2b4 (MD5) Previous issue date: 2017-11-23
Financial derivatives are broadly used for hedging purposes by large financial and non-financial corporations in developed countries. Thereof, currency derivatives represent the biggest class. For some currencies, foreign exchange exposure, for example arising from exports or foreign investments, cannot be hedged due to illiquid or nonexistent derivative markets. However, a third currency with liquid derivative markets exists and can be used to cross-hedge the exposure. This thesis examines whether using options with multiple strikes can improve the hedging performance in such a case. Several stochastic models commonly applied in the literature to foreign exchange markets are used for the out-of-sample hedging portfolio construction and applied to currencies in the regions Latin America, Europe and East/Southeast Asia between 2012 and 2016. This paper delivers two main results: Firstly, it is shown that adding options is not beneficial mainly due to model and estimation errors which increase risk. Secondly, it is shown that if the US-Dollar exchange rate is not cross-hedgeable, the exchange rate with the third currency must be, unless the foreign currency is highly volatile. As a consequence, cross-hedging can be successfully applied to at least one of those exchange rates. However, it is optimal to use only forwards in that case.
Derivativos financeiros são amplamente utilizados com finalidade de hedge por grandes corporações financeiras e não-financeiras em países desenvolvidos. Nesse sentido, derivativos de câmbio representam a classe mais expressiva. Para algumas moedas, a exposição cambial resultante por exemplo de exportações ou investimentos externos não pode ser coberta devido à iliquidez ou inexistência de mercados de derivativos. No entanto, existe um terceiro câmbio de mercados de derivativos líquidos que pode ser utilizado para cobrir a exposição cambial com cross-hedge. A presente tese examina se o uso de opções com múltiplos preços de exercício pode melhorar o desempenho de hedge em tal caso. Vários modelos estocásticos comumente aplicados na literatura a mercados de câmbio são utilizados para a construção out-of-sample de um portfolio de hedging e aplicados a câmbios na América Latina, Europa e Leste/Sudeste asiático entre 2012 e 2016. Esse trabalho chega a dois resultados centrais. O primeiro demonstra que não é benéfico adicionar opções sobretudo em virtude de erros de modelo e estimativa que elevam riscos. O segundo demonstra que se a taxa de câmbio do dólar americano não permite cross-hedging, a taxa de câmbio do terceiro câmbio precisa permitir, a menos que a moeda estrangeira seja altamente volátil. Consequentemente, cross-hedging pode ser aplicado com sucesso a pelo menos uma destas taxas de câmbio. Entretanto, é aconselhável utilizar apenas forwards nesse caso.
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Jordaan, Felipe Yvann. "Hedging currency futures basis risk : a SADC uniform currency perspective." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/19903.

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Thesis (MComm)--Stellenbosch University, 2012.
ENGLISH ABSTRACT: The implementation or adaption of a common currency by a group of countries has managerial as well as risk management implications for these emerging market multinational corporations (EMNC’S). This study sets out to examine these business management implications and the computation of a fictitious uniform currency for the SADC region, “SADC dollar” to derive its optimality should the SADC dollar replace the ZAR. This optimality was determined by comparing the basis risk of currency futures hedge positions using both the USD/ZAR on a ZAR currency index and USD/SADC dollar on a SADC currency index as the respective underlings. Findings indicated that the basis risk and currency risk declined over a time-series analysis which implied better business management decisions, increased profit margins, larger firm value and more effective hedged positions for the companies in South Africa that may adopt this new currency.
AFRIKAANSE OPSOMMING: Die implementering of aanvaarding van ‘n gemene wisselkoers deur ‘n groep SADC-lande het besigheidsbestuurs- asook risikobestuursimplikasies vir SADC multinasionale maatskappye. Hierdie studie beoog om die implikasies vir bestuur te ondersoek en te bepaal hoe die skep van ‘n fiktiewe eenvormige wisselkoers vir die SADC-streek gebruik kan word, dit is, sou die “SADC dollar” die ZAR vervang. Hierdie optimaliteit is bereken deur die basisrisiko van verskeie valutatermynkontrakte vergelyk. Die instrument onderliggend aan die verskillende valutatermynkontrakte was die VSA dollar/rand wisselkoers wat op ‘n Suid-Afrikaanse rand (ZAR) valutaindeks gemodelleer is en die VSA dollar/SADC dollar wat op ‘n SADC valutaindeks gemodelleer was. Die resultate van die navorsing op die gekose tydreeks dui daarop dat die basisrisiko sowel as die valutarisiko moontlik sal afneem. Die implikasie hiervan is moonlik beter besigheidsbestuurs-besluite, toename in winsmarges, toenames in maatskapywaardes en meer effektiewe skans posisies vir maatskappye in Suid–Afrika wat hierdie eenvormige wisselkoers sou implementeer.
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Payne, M. K. "Hedging and trading models for currency options portfolios." Thesis, Imperial College London, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.296907.

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Sarkis, Sumbat, and Chang Shu. "CORPORATE STRATEGIES FOR CURRENCY RISK MANAGEMENT." Thesis, Mälardalen University, School of Sustainable Development of Society and Technology, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-801.

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Title: Corporate Strategies for Currency Risk Management

ackground:Currency fluctuations are a global phenomenon, and can affect multinational

companies directly through their cash flow, financial result and company

valuation. The exposure to currency risks might however be covered against or

‘hedged’, as it is called, by different external and internal corporate strategies.

However, some of these strategies might include a risk themselves as they can

be expensive and uncertain. It is therefore an interesting question whether if

these strategies are actually applied in practice, and if so which strategies are

favored and why.

Purpose: The purpose of this thesis is to present and explain the different external and

internal hedging techniques and to see which, or if any, strategies are favored by

large, medium-sized and small companies and for what reasons.

Method: Regarding primary data, interviews with a mostly qualitative profile have been

used to discuss the subject with respondents from six companies, diversified in

size using the classification from the European Commission. Secondary data has

been collected through literature from the university library and internet sources.

Conclusion: Large companies primarily use the strategy of forwards, since they carry high

elements of risk aversion, predictability and simplicity. For internal strategies,

large companies prefer netting. Small companies extensively use matching

because the routine is easy to establish and handle. Medium-sized companies

can use either one so much depends on the risk-aversion and cash-flow

management of the company.

Large companies continuously regard currency risk a big factor, whereas small

companies have just recently started due to the dollar depreciation. Translation

exposure should be considered a big risk regardless of the company size, if the

company is the main one in a corporate group. Finally, the subject of

currency risk management is very theoretically broad, but its appliance in

practice is very slim as only a few strategies are actually favored and frequently

used.

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Carlsson, Gustav, and Robin Ericsson. "Layered Basket Option Hedging : Currency risk management for multinational corporations." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18338.

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Background: In an increasingly globalized environment, corporations perform transactions across borders on a day-to-day basis. As multinational corporations expand their businesses the number of currencies in their operations increases. The consequence of operating with several currencies is the risk associated with currency fluctuations. Sandvik AB is a worldwide corporation where activities are conducted through representation in more than 130 countries. Currency exposures are controlled through risk management where financial derivatives are applied to protect the corporation from potential losses caused by fluctuations. Sandvik AB recently implemented a hedging strategy entitled Layered Basket Option hedging. The strategy is a combination of a layered- and a basket option approach to maximize the effect of the hedge. There is a limited amount of previous research regarding Layered Basket Option hedging and Sandvik AB is the first corporation to actively practice this strategy. Purpose: The purpose is to investigate and provide information about how currency risk most effectively is hedged for the multinational corporation Sandvik AB. Furthermore, we want to evaluate if Sandvik’s recently implemented hedging strategy, Layered Basket Option hedging, is the best-suited strategy for them and if there are any improvements to be made. This thesis will further investigate the importance of currency hedging for multinational corporations, which are dependent on reporting to their stakeholders. Hopefully, this thesis will also facilitate the communication of Sandvik’s currency strategies throughout the organization and make it more comprehensible. Method: Exchange rates on daily basis for the period 2002-2012 were collected from Bank of Canada and Reuters database. The collected data was thereafter used as a basis to perform calculations to determine if Layered Basket Option hedging is the optimal solution for Sandvik AB. Conclusion: The results of this study highlight the benefits from applying a Layered Basket Option hedging strategy and the strategy succeeds to reduce the volatility caused by currency fluctuation. The results indicate that the combination of a layered- and a basket option approach successfully creates a suitable strategy for Sandvik AB. Furthermore, this thesis has recognized that there exists room for improvement by actively allocating currencies according to their weights and correlations to fully exploit the effects from the strategy.
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Spitz, David Evan. "Optimization models for foreign exchange rate hedging using currency options." Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/33479.

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Gustafsson, Sandra, Ramona Isaksson, and Johan Lagerqvist. "Currency risk management : A case study of Superfos." Thesis, Jönköping University, JIBS, Accounting and Finance, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-7818.

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Slavík, Tomáš. "Měnový hedging s využitím finančních derivátů." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-17028.

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Thesis "Currency Hedging Using Financial Derivates" provides comprehensive survey about hedge derivatives contracts from view of real datas. The principle is whole life of derivates contracts - from the beginning of contract settlement to expiration of agreement. Thesis shows hedge relation with czech accounting law and provides different views on potential problems and shows possible improvements in this topic.
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Books on the topic "Currency hedging"

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Coyle, Brian. Hedging currency exposures. Chicago: Glenlake Pub. Co., 2000.

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Campbell, John Y. Global currency hedging. Cambridge, Mass: National Bureau of Economic Research, 2007.

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Froot, Kenneth. Currency hedging over long horizons. Cambridge, MA: National Bureau of Economic Research, 1993.

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Wei, Shang-Jin. Currency hedging and goods trade. Cambridge, MA: National Bureau of Economic Research, 1998.

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Henderson, Callum. Currency Strategy. New York: John Wiley & Sons, Ltd., 2003.

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Clasing, Henry K. Currency options: Hedging and trading strategies. Homewood, Ill: Business One Irwin, 1992.

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Currency strategy: A practitioner's guide to currency investing, hedging, and forecasting. New York: J. Wiley, 2002.

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Henderson, Callum. Currency strategy: The practitioner's guide to currency trading, hedging, and forecasting. New York: John Wiley, 2002.

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Klopfenstein, Gary. Trading currency cross rates. New York: J. Wiley, 1993.

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Saunders, Anthony. The hedging performance of ECU futures contracts. Philadelphia: Federal Reserve Bank of Philadelphia, 1987.

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Book chapters on the topic "Currency hedging"

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von Pfeil, Enzio. "Transitory Hedging Techniques." In Effective Control of Currency Risks, 119–92. London: Palgrave Macmillan UK, 1988. http://dx.doi.org/10.1007/978-1-349-07280-4_5.

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Willsher, Richard. "Currency Risk and Hedging Techniques." In Export Finance, 139–42. London: Palgrave Macmillan UK, 1995. http://dx.doi.org/10.1007/978-1-349-13980-4_16.

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Narroway, Simon. "Hedging Currency and Interest Rate Risks." In BIEC Yearbook 1989–1990, 137–53. London: Macmillan Education UK, 1989. http://dx.doi.org/10.1007/978-1-349-11350-7_18.

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Chung, Kyuil, Hail Park, and Hyun Song Shin. "Mitigating Systemic Spillovers from Currency Hedging." In Volatile Capital Flows in Korea, 217–44. New York: Palgrave Macmillan US, 2014. http://dx.doi.org/10.1057/9781137368768_9.

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Kallio, Markku, Matti Koivu, and Rudan Wang. "Currency Hedging for a Multi-national Firm." In Handbook of Recent Advances in Commodity and Financial Modeling, 297–320. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-61320-8_14.

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Kasikov, Kristjan. "Currency Hedging for International Bond and Equity Investors." In Handbook of Exchange Rates, 503–43. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781118445785.ch18.

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Magee, Shane. "Foreign Currency Hedging and Firm Value: A Dynamic Panel Approach." In Advances in Financial Risk Management, 57–80. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137025098_3.

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Leippold, Markus, and Felix Monger. "International Stock Portfolios and Optimal Currency Hedging with Regime Switching." In Asset Allocation and International Investments, 16–41. London: Palgrave Macmillan UK, 2007. http://dx.doi.org/10.1057/9780230626515_2.

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Castellano, Rosella, and Francesca Di Ottavio. "GARCH Models as Diffusion Approximation: A Simulation Approach for Currency Hedging Using Options." In New Operational Approaches for Financial Modelling, 297–310. Heidelberg: Physica-Verlag HD, 1997. http://dx.doi.org/10.1007/978-3-642-59270-6_22.

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Du, Jiangze, Jying-Nan Wang, Kin Keung Lai, and Chao Wang. "Hedging currency risk." In Chinese Currency Exchange Rates Analysis, 61–89. Routledge, 2017. http://dx.doi.org/10.4324/9781315172217-5.

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Conference papers on the topic "Currency hedging"

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"Hedging Currency Risk in Emerging Markets." In International Conference on Arts, Economics and Management. International Centre of Economics, Humanities and Management, 2014. http://dx.doi.org/10.15242/icehm.ed0314057.

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Sebastian, Steffen, and Halil Memis. "Currency Hedging for International Real Estate Portfolios." In 26th Annual European Real Estate Society Conference. European Real Estate Society, 2019. http://dx.doi.org/10.15396/eres2019_166.

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Star, Spencer. "An expert system for foreign currency hedging (abstract only)." In the 1985 ACM thirteenth annual conference. New York, New York, USA: ACM Press, 1985. http://dx.doi.org/10.1145/320599.322471.

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Xiao-xin, Chen, and Chen Wei-zhong. "Performance of Currency Hedging across Major Stock Markets under Different Constraints." In 2007 International Conference on Management Science and Engineering. IEEE, 2007. http://dx.doi.org/10.1109/icmse.2007.4422079.

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Rodionova, K. A., and E. V. Murashova. "THE EFFECTIVE RISK MANAGEMENT OF THE COMPANY'S EXPORT ACTIVITY." In New forms of production and entrepreneurship in the coordinates of neo-industrial development of the economy. PD of KSUEL, 2020. http://dx.doi.org/10.38161/978-5-7823-0731-8-2020-130-137.

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The article represents the results of the analysis of the main probabilistic risks of export using the example of RFP Group LLC, which deserve attention: currency risk, non-payment risk under the terms of the contract, introduction of legislative restrictions. In order to study the effective risk management in the export activities of the company, the authors consider the economic capacity of such export risk management methods as diversification of the currency structure, hedging instruments.
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Bhatia, Anil, and Sanjay P. Bhat. "Optimal Static Hedging of Uncertain Future Foreign Currency Cash Flows Using FX Forwards." In 2016 International Conference on Industrial Engineering, Management Science and Application (ICIMSA). IEEE, 2016. http://dx.doi.org/10.1109/icimsa.2016.7504022.

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Huang, Xin, and Duan Li. "A Two-level Reinforcement Learning Algorithm for Ambiguous Mean-variance Portfolio Selection Problem." In Twenty-Ninth International Joint Conference on Artificial Intelligence and Seventeenth Pacific Rim International Conference on Artificial Intelligence {IJCAI-PRICAI-20}. California: International Joint Conferences on Artificial Intelligence Organization, 2020. http://dx.doi.org/10.24963/ijcai.2020/624.

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Abstract:
Traditional modeling on the mean-variance portfolio selection often assumes a full knowledge on statistics of assets' returns. It is, however, not always the case in real financial markets. This paper deals with an ambiguous mean-variance portfolio selection problem with a mixture model on the returns of risky assets, where the proportions of different component distributions are assumed to be unknown to the investor, but being constants (in any time instant). Taking into consideration the updates of proportions from future observations is essential to find an optimal policy with active learning feature, but makes the problem intractable when we adopt the classical methods. Using reinforcement learning, we derive an investment policy with a learning feature in a two-level framework. In the lower level, the time-decomposed approach (dynamic programming) is adopted to solve a family of scenario subcases where in each case the series of component distributions along multiple time periods is specified. At the upper level, a scenario-decomposed approach (progressive hedging algorithm) is applied in order to iteratively aggregate the scenario solutions from the lower layer based on the current knowledge on proportions, and this two-level solution framework is repeated in a manner of rolling horizon. We carry out experimental studies to illustrate the execution of our policy scheme.
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Reports on the topic "Currency hedging"

1

Campbell, John, Karine Serfaty-de Medeiros, and Luis Viceira. Global Currency Hedging. Cambridge, MA: National Bureau of Economic Research, May 2007. http://dx.doi.org/10.3386/w13088.

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2

Wei, Shang-Jin. Currency Hedging and Goods Trade. Cambridge, MA: National Bureau of Economic Research, September 1998. http://dx.doi.org/10.3386/w6742.

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3

Froot, Kenneth. Currency Hedging over Long Horizons. Cambridge, MA: National Bureau of Economic Research, May 1993. http://dx.doi.org/10.3386/w4355.

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4

Alfaro, Laura, Mauricio Calani, and Liliana Varela. Currency Hedging: Managing Cash Flow Exposure. Cambridge, MA: National Bureau of Economic Research, June 2021. http://dx.doi.org/10.3386/w28910.

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