Optimal Currency Hedging Export

@unpublished{citeulike:3083450, abstract = {This paper characterizes optimal currency hedging in several models of downside risk.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.}, author = {Albuquerque, Rui}, citeulike-article-id = {3083450}, institution = {University of Rochester}, keywords = {behaviour, derivative, forward, hedge, option}, month = {April}, posted-at = {2008-08-05 06:32:01}, priority = {2}, title = {Optimal Currency Hedging}, year = {2003} }

TY - UNPB ID - citeulike:3083450 L3 - citeulike-article-id:3083450 N2 - 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. TI - Optimal Currency Hedging KW - behaviour KW - derivative KW - forward KW - hedge KW - option AU - Albuquerque, Rui PY - 2003/04// ER -