Diversification internationale sous contrainte et couverture contre le risque de change

D. Namur

Working Papers from Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.

Abstract: The international diversification of the relatively illiquid portfolios of financial institutions points out two questions: first, the basic advantages and methodology of exchange risk hedging; second, the relevance of centralized balance sheet management. This document answers these questions in a discrete time mean-variance framework.

Keywords: TAUX DE CHANGE; FINANCES INTERNATIONALES; MARCHE FINANCIER (search for similar items in EconPapers)
JEL-codes: F30 F31 G10 G12 G15 (search for similar items in EconPapers)
Pages: 43 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pnegmi:9606

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