期刊论文

Yu, Xing

英文

Mathematics and Computers in Simulation

0378-4754

2020

173

85-104

10.1016/j.matcom.2020.02.014

Funds for International Cooperation and Exchange of the National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71720107002]; National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71501076, 71971086]; Guangdong Basic and Applied Basic Research Foundation, China [2019B151502037]; Financial Service Innovation and Risk Management Research Base of Guangzhou, China; Raising initial capital for High-level Talents of Central China Normal University [30101190001]; Fundamental Research Funds for the Central Universities, ChinaFundamental Research Funds for the Central Universities [CCNU19A06043, CCNU19TD006, CCNU 19TS062, 2019ZD13]; Humanities and Social Science Planning Fund from Ministry of Education, China [16YJAZH078]

本校为第一且通讯机构

This paper studies exchange rate risk hedging with currency options in international portfolios. We propose a new iterative method to estimate the bandwidth of the kernel density estimator (KDE). Based on KDE, we further estimate the density function of the hedging portfolio's return and calculate the risk of lower partial moments (LPM). Some in-depth analysis is conducted for currency of USD/CAD in two sample spaces (i.e. testing the hedging efficiency with in-sample data and out-of-sample simulation). Specifically, we test whether currency options hedging can improve the performance of inter...