The main idea of this article is to approach and compare factor and asset allocation
portfolios using both traditional and alternative allocation techniques: inverse variance …

This paper introduces a non-Gaussian dynamic currency hedging strategy for globally
diversified investors with ambiguity. It provides theoretical and empirical evidence that …

Currency exposure can have a significant impact on overall portfolio risk and return, but
leaving exposure fully unhedged is often considered to be the default position when …

This paper introduces a non-Gaussian dynamic currency hedging strategy for globally
diversified investors with ambiguity. Assuming that ambiguity of a typical investor can be …

I am thankful to many people for guiding me through my Ph. D. studies. First and foremost, I
would like to express my deepest gratitude to my advisor, Prof. Dr. Erich Walter Farkas, for …

When investing in a foreign asset, an investor undertakes two positions; in the foreign asset
itself as well as the foreign currency. In the case of a fixed income investor with relatively …

The authors provide a strategic currency hedging framework for multi-asset portfolios,
helping global investors better manage foreign currency exposures by balancing hedging …

The empirical observation is well documented that currency exposure can add risk to an
unhedged international equity portfolio. Extending that work, this article uses three …