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Working Papers N°662: Cubrir o no Cubrir: ¿Ese es el Dilema?

Autor: Rodrigo Alfaro , Natán Golberger


Description

In this paper we analyze if currency hedging reduces risk. Based on historical data (1997- 2011) and using coherent measures of risk, we found that in equity portfolios it does not imply a reduction on risk. In contrast, for fixed-income portfolios the optimal hedging is 100%. Last finding is also robust to both USD and EUR portfolios.

Working Papers N°662: Cubrir o no Cubrir: ¿Ese es el Dilema?
 
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