Cubrir o no Cubrir: ¿Ese es el Dilema?

Rodrigo Alfaro () and Natán Goldberger

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: In this paper we analyze if currency hedging reduces risk. Based on historical data (1997- 2011) and using coherent measures of risk, we found that in equity portfolios it does not imply a reduction on risk. In contrast, for fixed-income portfolios the optimal hedging is 100%. Last finding is also robust to both USD and EUR portfolios

Date: 2012-02
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:662

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