Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/16647
Título: Currency risk hedging in international equity portfolios : evidence from a principal component analysis
Autor: Mourinho, João Bernardo Santos Correia
Orientador: Holcblat, Benjamin
Palavras-chave: Principal component analysis
Currency risk
Exchange rates
Equity markets
Correlation
Portfolio hedging
Data de Defesa: 15-Set-2014
Resumo: This thesis dissertation analyses the correlation structure of foreign equity returns and exchange rate returns, and explores the impact of hedging exchange rate risk on international equity portfolios, using a principal component analysis – the study comprises the period from January 1992 to December 2013. We hedged an equally weighted equity portfolio by adding currency positions in an overlay fashion. By doing so, we increased portfolio returns but also volatility. Nevertheless, we found that the risk-reward ratio improved. When comparing this methodology to an OLS hedging, where both returns and volatility decreased, we observe a higher increase of risk-reward ratio in the PCA hedging. In addition, it improves skewness, while in OLS hedging it deteriorates, and decreases kurtosis.
URI: http://hdl.handle.net/10400.14/16647
Aparece nas colecções:FCEE - Dissertações de Mestrado / Master Dissertations
R - Dissertações de Mestrado / Master Dissertations

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