Access the full text.
Sign up today, get DeepDyve free for 14 days.
References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.
Raj Aggarwal is the Edward J. and Louise E. Mellen Chair in Finance at John Carroll University. Andrea L. DeMaskey is an Assistant Professor of Finance at Villanova University. The Journal of Futures Markets, Vol. 17, No. 7, 781â796 (1997) 1997 by John Wiley & Sons, Inc. CCC 0270-7314/97/070781-16 Aggarwal and DeMaskey tions placed on foreign investors [e.g., Aggarwal (1994)].2 As the highest growth region, Asia attracts the largest proportion of cross-border investments. Currency hedged benchmarks are widely used to evaluate portfolio managers, and the currency hedging decision, while important, is generally made after the portfolio composition is established [e.g., Karnosky and Singer (1994)]. Currency hedging overlay policies are considered useful if they improve the riskâreturn performance of a portfolio (e.g., if they have a positive Sharpe performance index). Even though currency hedging is unlikely to be useful if purchasing power and interest rate parity conditions hold, there is now considerable evidence for the major currencies that hedging can be very beneï¬cial. Hedged portfolios have been shown to offer better returnârisk ratios than unhedged portfolios [e.g., Perold and Schulman (1988), Eaker, Grant, and Woodard (1993), Glen and Jorion (1993), Kritzman (1993), and Gastineau (1995)]. Although there is considerable
The Journal of Futures Markets – Wiley
Published: Oct 1, 1997
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.