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題名:Hedging the Exchange Rate Risk in International Portfolio Diversification: Currency Forwards Versus Currency Options
書刊名:中山管理評論
作者:Maurer, RaimondValiani, Shohreh
出版日期:2004
卷期:12:5
頁次:頁145-179
原始連結:連回原系統網址new window
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  • 點閱點閱:210
期刊論文
1.Sortino, F. A.、Price, L.(1994)。Performance measurement in a downside risk framework。Journal of Investing,24(3),59-64。  new window
2.Bawa, Vijay S.(1975)。Optimal Rules for Ordering Uncertain Prospects。Journal of Financial Economics,2,95-121。  new window
3.Roy, Arthur D.(1952)。Safety First and the Holding of Assets。Econometrica,20(3),431-449。  new window
4.Jarque, C. M.、Bera, A. K.(1987)。A Test for Normality of Observations and Regression Residuals。International Statistical Review,55(2),163-172。  new window
5.辛敬文、Kuo, Jerry、李正福(1994)。A New Measure to Compare the Hedging Effectiveness of Foreign Currency Futures versus Options。The Journal of Futures Markets,14(6),685-707。  new window
6.Jorion, P.(1985)。International portfolio diversification with estimation risk。Journal of Business,58(3),259-278。  new window
7.Sortino, F. A.、van der Meer, R.(1991)。Downside Risk。Journal of Portfolio Management,17(4),27-31。  new window
8.Harlow, W. V.(1991)。Asset Allocation in a Downside-Risk Framework。Financial Analysts Journal,47,28-40。  new window
9.Kroll, Y.、Levy, H.、Markowitz, H. M.(1984)。Mean-Variance Versus Direct Utility Maximization。The Journal of Finance,39(1),47-61。  new window
10.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
11.Fishburn, P. C.(1997)。Mean-risk Analysis with Risk Associated with Below-target Returns。The American Economic Review,67(2),116-126。  new window
12.Eun, Cheol S.、Resnick, B. G.(1988)。Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection。The Journal of Finance,43(1),197-215。  new window
13.Hanoch, G.、Levy, H.(1969)。The Efficiency Analysis of Choices Involving Risk。The Review of Economic Studies,36(3),335-346。  new window
14.Adler, M.、Prasad, B.(1992)。On Universal Currency Hedges。Journal of Financial and Quantitative Analysis,27,19-37。  new window
15.Adler, M.、Simon, D.(1986)。Exchange Rate Surprises in International Portfolios。The Journal of Portfolio Management,12,44-53。  new window
16.Bawa, V. S.(1978)。Safety First, Stochastic Dominance and Optimal Portfolio Choice。Journal of Financial and Quantitative Analysis,13,255-271。  new window
17.Biger, N.、Hull, J.(1983)。The Valuation of Currency Option Hedges。Journal of Financial Economics,10,178-201。  new window
18.Black, F.(1989)。Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios。Financial Analysts Journal,8,16-22。  new window
19.Black, F.(1990)。Equilibrium Exchange Rate Hedging。The Journal of Finance,45,899-908。  new window
20.Bookstaber, R.、Clarke, R.(1984)。Option Portfolio Strategies: Measurement and Evaluation。The Journal of Business,57,469-492。  new window
21.Bookstaber, R.、Clarke, R.(1985)。Problems in Evaluating the Performance of Portfolios with Options。Financial Analysts Journal,January/ February,48-62。  new window
22.Bugar, G.、Maurer, R.(2002)。International Equity Portfolios and Currency Hedging, The Viewpoint of German and Hungarian Investors。Astin Bulletin,32(1),171-197。  new window
23.Conover, J. A.、Dubofsky, D. A.(1995)。Efficient Selection of Insured Currency Positions, Protective Puts versus Fiduciary Calls。Journal of Financial and Quantitative Analysis,30,295-312。  new window
24.Eaker, M. R.、Grant, D. M.(1990)。Currency Hedging Strategies for Internationally Diver-sified Equity Portfolios。The Journal of Portfolio Management,31,30-32。  new window
25.Eun, C. S.、Resnick, B. G.(1994)。International Diversification of Investment Portfolios, Us and Japanese Perspective。Management Science,40,140-160。  new window
26.Fishburn, P. C.(1984)。Foundations of Risk Measurement: Risk as a Probable Loss。Management Science,30,116-126。  new window
27.Garman, G.、Kohlhagen, C.(1983)。Foreign Currency Option Values。Journal of International Money and Finance,2,231-237。  new window
28.Glen, J.、Jorion, P.(1993)。Currency Hedging for International Portfolios。The Journal of Finance,48(5),1865-1886。  new window
29.Harlow, W. V.、Rao, R. K.(1989)。Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence。Journal of Financial and Quantitative Analysis,24(3),285-311。  new window
30.Jorion, P.(1985)。Bayes-Stein Estimation for Portfolio Analysis。Journal of Financial and Quantitative Analysis,21(3),279-292。  new window
31.Larsen, G. A.、Resnick, B. G.(2000)。The Optimal Construction of Internationally Diversified Equity Portfolios Hedged Against Exchange Rate Uncertainty。European Financial Management,6,479-519。  new window
32.Levy, H.、Lim, K. C.(1994)。Forward Exchange Bias, Hedging and the Gains from International Diversification of Investment Portfolios。Journal of International Money and Finance,13,159-170。  new window
33.Sarin, R. K.、Weber, M.(1993)。Risk-value models。European Journal of Operational Research,72,135-149。  new window
圖書
1.Weber, M.(1990)。Risikoentscheidungskalkule in der Finanzierungstheorie。Risikoentscheidungskalkule in der Finanzierungstheorie。Stuttgart, Germany。  new window
 
 
 
 
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