Analyzing Foreign Exchange Rate Risk of Minimum Variance Partial Hedging Strategy in International Financial Markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090785" target="_blank" >RIV/61989100:27510/14:86090785 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Analyzing Foreign Exchange Rate Risk of Minimum Variance Partial Hedging Strategy in International Financial Markets
Original language description
This paper presents the minimum variance partial hedging strategy with international portfolios. International portfolios have an exposure to foreign exchange rates. If a stock portfolio tracks a stock index exactly then the equity risk may be almost full hedged by taking a position on the index future, because the basis risk is usually very small indeed. But if it does not track the index exactly only the systematic equity risk of the portfolio has been hedged and after the hedge still left with a specific equity risk due to the non-zero tracking error. The aims of this paper is to analyze the risk factors of international portfolio, application of partial hedging strategy, verified the minimum variance partial hedging strategy should be successfullyapplied in international financial markets and reduce the financial risk.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]
ISBN
978-80-248-3631-7
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
226-233
Publisher name
VŠB-Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 8, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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