Currency OverlayISBN: 978-0-470-85027-5
Hardcover
316 pages
September 2003
 Other Available Formats: E-book
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List of boxes.
Biography.
Acknowledgements.
1. Introduction.
2. The Problem.
3. Currency Hedging.
4. Foreign Exchange Market – History and Structure.
5. Theory of Currency Hedging of International Portfolios.
6. Passive Currency Overlay.
7. Currency Overlay Benchmarks.
8. Overlaying Different Asset Classes.
9. Is the Currency Market Efficient?
10. Active Currency Overlay – Management Styles.
11. Active Currency Overlay – Evidence of Performance.
12. Implementing Currency Overlay.
13. Looking Ahead.
References/Useful Reading.
Appendix 1. Boundary Conditions for Forward Arbitrage.
Appendix 2. Lognormal Returns.
Appendix 3. AIMR® Report.
Appendix 4. Sample Investment Guidelines.
Index.
Related Titles
Trading
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