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International equity investment with selective hedging strategies
16 references·2 citing·35 second hop
International equity investment with selective hedging strategies (1997)International equity investment with sele…Investor Diversification and International Equity Markets (1991)Investor Diversification and …Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…International Portfolio Diversification with Estimation Risk (1985)International Portfolio Diver…Forward and spot exchange rates (1984)Forward and spot exchange rat…Multinational Financial Management. (1983)Multinational Financial Manag…Foreign currency option values (1983)Foreign currency option valuesEmpirical exchange rate models of the seventies (1983)Empirical exchange rate model…Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s (1981)Flexible Exchange Rates, Pric…Why Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…International Diversification of Investment Portfolios (1970)International Diversification…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Mutual Fund Performance (1966)Mutual Fund PerformanceLiquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Safety First and the Holding of Assets (1952)Safety First and the Holding …Portfolio Selection (1952)Portfolio SelectionOptimizing international portfolios with options and forwards (2011)Optimizing international port…Selectively hedging the US dollar with foreign exchange futures contracts (2003)Selectively hedging the US do…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)International comovement of stock market returns: A wavelet analysis (2009)Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Portfolio Selection: Efficient Diversification of Investments (1959)Does industrial structure explain the benefits of international diversification? (1994)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Carry Trades and Global Foreign Exchange Volatility (2012)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)The determinants of cross-border equity flows (2004)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Efficient Capital Markets: II (1991)
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References

  • 1952Portfolio Selection4,609 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1983Foreign currency option values1,078 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • 1985International Portfolio Diversification with Estimation Risk672 cited
  • 1981Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s500 cited
  • 1983Multinational Financial Management.486 cited

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Cited by

  • 2011Optimizing international portfolios with options and forwards41 cited
  • 2003Selectively hedging the US dollar with foreign exchange futures contracts21 cited