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The Role of Currency in Institutional Portfolios
Discipline: Foreign Exchange
No of pages: 525
First published:
ISBN: 9781782720942
In the current financial environment in which institutional investors are failing to achieve their goal of superior returns or beating the market, investors are rethinking asset allocation as a whole.
The potential role for currency in institutional portfolios has been much discussed, yet overlooked. Finally this market segment is coming to the foreground of the investment landscape. Editors and experts in the area of currency research, Momtchil Pojarliev (Fischer Francis Trees & Watts) and Richard Levich (New York University Stern School of Business), present contributions from authorities in the FX sphere of the investment world as well as the more traditional sectors, providing a balanced perspective to institutional portfolios.
Contents
A Case for Currency in Institutional Portfolios
The Currency Conundrum: Regret Versus Optimal Hedging
Global Asset Allocation and Optimal US Dollar Hedging
Alternative Currency Hedging Strategies with Known Covariances
Strategic Asset Allocation and Currency Betas
Separating Currency Returns from Asset Returns in Theory and Practice: Conscious Currency and Beyond
Economic Data Surprises and Currency Alpha
Is Trend Following in Foreign Exchange Markets Going Out of Fashion?
The Carry Trade: The Essentials of Theory, Strategy and Risk Management
Carry Trades in Emerging Markets
Investing in Emerging Market Currencies: A Rewarded Risk
The Currency Investing Process: Managing G10 Currencies
Systematic Currency Trading
A Discretionary Approach to Currency Investing
Due Diligence as a Source of Alpha
Currency Forecasting: Generating Views about Foreign Exchange
Exchange Rates, Risk Premia and Inflation-indexed Bond Yields
Currency Investing: A Risk Premium Approach
Currency Management Styles: Ten Years On
The Future of Currency Investing in Institutional Portfolios