That Courage is not Inconsistent with Caution: Currency Hedging for Superannuation Funds

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dc.contributor.author Thorp, Susan en_US
dc.date.accessioned 2009-12-21T02:36:33Z
dc.date.available 2009-12-21T02:36:33Z
dc.date.issued 2005 en_US
dc.identifier 2006006003 en_US
dc.identifier.citation Thorp Susan 2005, 'That Courage is not Inconsistent with Caution: Currency Hedging for Superannuation Funds', Blackwell Publishing Asia, vol. 81, no. 252, pp. 38-50. en_US
dc.identifier.issn 0013-0249 en_US
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/5072
dc.description.abstract Surveys of Australian retirement savings funds verify that most international bond holdings, but not equity holdings, have been hedged for currency risk. We compare the mean variance efficiency of this practice with two alternatives: a conventional forward hedge and a selective hedge triggered by the sign of the interest differential. These strategies generate optimal allocations that stochastically dominate restricted equity hedging according to Barrett Donald tests. Advantages of alternative hedging strategies remain when sample mean returns are replaced by forecasts. Selective hedging works best for equities; conventional hedging for bonds. Adding unhedged bonds does not improve outcomes. en_US
dc.publisher Blackwell Publishing Asia en_US
dc.relation.isbasedon http://dx.doi.org/10.1111/j.1475-4932.2005.00215.x en_US
dc.title That Courage is not Inconsistent with Caution: Currency Hedging for Superannuation Funds en_US
dc.parent The Economic Record en_US
dc.journal.volume 81 en_US
dc.journal.number 252 en_US
dc.publocation Australia en_US
dc.identifier.startpage 38 en_US
dc.identifier.endpage 50 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140207 en_US
dc.personcode 995378 en_US
dc.percentage 100 en_US
dc.classification.name Financial Economics en_US
dc.classification.type FOR-08 en_US
dc.edition 1 en_US
dc.staffid 995378 en_US


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