Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 29

 Investors may improve portfolio efficiency by optimally hedging a portfolio's currency exposure.

 Linear hedging strategies use forward or futures contracts to offset cur- rency exposure. They hedge both upside returns and downside returns. They are called linear hedging strategies because the portfolio's returns are a linear function of the hedged currencies' returns.

 Investors can reduce risk more effectively by allowing currency-specific hedging, cross-hedging, and overhedging. These strategies retain exposure to currencies that diversify the portfolio and reduce exposure to currencies that do not.

 Nonlinear hedging strategies use put options to protect a portfolio from downside returns arising from currency exposure while allowing it to benefit from upside currency returns. They are called nonlinear hedging strategies because the portfolio's returns are a nonlinear function of the hedged currencies' returns.

 Nonlinear hedging strategies are more expensive than linear hedging strategies because they preserve the upside potential of currencies.

 A basket option is an option on a portfolio of currencies and therefore provides protection against a collective decline in currencies.

 A portfolio of options offers protection against a decline in any of a portfolio's currencies.

 A basket option is less expensive than a portfolio of options because it offers less protection.