This paper provides empirical evidence on the effectiveness of cross-hedging to reduce
foreign exchange risk. Simple cross-hedges for currencies with and without futures contracts, …

International diversification of equity portfolios represents an exposure to security risk and
currency risk as well as an opportunity to benefit from security returns and currency returns. …

This paper employs stochastic dynamic programming to analyze two hedging problems
which arise frequently, especially in international finance. One is the hedging of an uncertain …

THE RELATIONSHIP between forward foreign exchange rates and subsequent future spot
rates has received extensive theoretical and empirical attention in the literature. Two …

TRADITIONAL EXPLANATIONS of foreign exchange exposure have generally suffered from
two deficiencies: the failure to place the foreign exchange problem within the context of the …

This paper addresses the denomination decision for intracompany transactions. It demonstrates
the impact of that decision on the firm and develops a decision rule for determining the …

In international borrowing and lending, exchange risk is an important consideration that is
determined by the currency denomination of the transaction. A number of new financial …

This paper provides a strategy for determining the currency of denomination for the borrowing
decisions of multinational corporations. That strategy is derived from extensive empirical …

THE PRECIPITOUS decline in the fortunes of the US dollar during the second half of 1977
and the beginning of 1978 has renewed doubts about the dollar's ability to perform its roles as …

This paper analyzes the wealth effects of alternative portfolio rebalancing strategies for
equity investments in nine emerging markets for the period from 1976 to 1998. The choice of …