Template-Type: ReDIF-Paper 1.0
Author-Name: Bos, C.S.
Author-Name-Last: Bos
Author-Name-First: Charles
Author-Person: pbo94
Author-Name: Mahieu, R.J.
Author-Name-Last: Mahieu
Author-Name-First: Ronald
Author-Person: pma286
Author-Name: van Dijk, H.K.
Author-Name-Last: van Dijk
Author-Name-First: Herman
Author-Person: pva325
Title: On the variation of hedging decisions in daily currency risk management
Abstract: Internationally operating firms naturally face the decision whether or not to hedge the currency risk implied by foreign investments. In a recent paper, Bos, Mahieu and van Dijk evaluate the returns from optimal and alternative currency hedging strategies, for a series of 7 models, using Bayesian inference and decision analysis. The models differ in the way time-varying means, variances or the unconditional error distributions are incorporated. In this extension, we compare the hedging decisions  and financial returns and utilities as they result from the modelling assumptions and the attitudes towards risk.
Creation-Date: 2000-11-09
File-URL: https://repub.eur.nl/pub/1653/feweco20001109124455.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2000-20/A
Keywords: Bayesian analysis, Exchange rates, Risk management
Handle: RePEc:ems:eureir:1653