That Courage is not Inconsistent with Caution: Currency Hedging for Superannuation Funds

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Show simple item record Thorp, SJ 2009-12-21T02:36:33Z 2005-01
dc.identifier.citation The Economic Record, 2005, 1, 81 (252), pp. 38 - 50
dc.identifier.issn 0013-0249
dc.identifier.other C1UNSUBMIT en_US
dc.description.abstract Surveys of Australian retirement savings funds verify that most international bond holdings, but not equity holdings, have been hedged for currency risk. We compare the mean variance efficiency of this practice with two alternatives: a conventional forward hedge and a selective hedge triggered by the sign of the interest differential. These strategies generate optimal allocations that stochastically dominate restricted equity hedging according to Barrett Donald tests. Advantages of alternative hedging strategies remain when sample mean returns are replaced by forecasts. Selective hedging works best for equities; conventional hedging for bonds. Adding unhedged bonds does not improve outcomes.
dc.publisher Blackwell Publishing Asia
dc.relation.isbasedon 10.1111/j.1475-4932.2005.00215.x
dc.title That Courage is not Inconsistent with Caution: Currency Hedging for Superannuation Funds
dc.type Journal Article
dc.parent The Economic Record
dc.journal.volume 252
dc.journal.volume 81
dc.journal.number 252 en_US
dc.publocation Australia en_US
dc.identifier.startpage 38 en_US
dc.identifier.endpage 50 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140207 Financial Economics
dc.personcode 995378
dc.percentage 100 en_US Financial Economics en_US
dc.classification.type FOR-08 en_US
dc.edition 1 en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
pubs.organisational-group /University of Technology Sydney/Strength - Study of Choice
utslib.copyright.status Closed Access 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)

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