A Structural Macro-Financial Model an Macro-Risk Management

Volume 13, Number 2, Second Quarter 2015
Wei Chen, Mark Kritzman and David Turkington

Informed investors understand that they should hedge at least some of their portfolios’currency exposure, but the best strategy for doing so remains an open question. We investigate a variety of currency hedging strategies, including linear strategies, non-linear strategies, and combinations thereof, for the purpose of helping investors determine which strategies best meet their objectives.