Urban Ulrych: Dynamic Currency Hedging with Ambiguity

Datum objave: 28. 11. 2021
Seminar za verjetnost, statistiko in finančno matematiko
Predavalnica 2.03 na FMF, Jadranska 21, Ljubljana.

V četrtek, 2. 12. 2021 ob14:15, bo bo v predavalnici 2.03 na FMF, Jadranska 21, potekalo predavanje Urbana Ulrycha (Swiss Finance Institute) z naslovom Dynamic Currency Hedging with Ambiguity.

Abstract: A general relation between investor's ambiguity and non-Gaussianity of financial asset returns is proposed. Based on that relation and utilizing a flexible non-Gaussian returns model for the joint distribution of portfolio and currency returns, we develop an ambiguity-adjusted dynamic currency hedging strategy for international investors. We propose an extended filtered historical simulation that combines Monte Carlo simulation based on volatility clustering patterns with the semi-parametric non-normal return distribution from historical data. This simulation allows us to incorporate investor's ambiguity into the dynamic currency hedging strategy algorithm that can numerically optimize an arbitrary risk measure, such as volatility, value-at-risk, or expected shortfall. The out-of-sample back-test results show that, for globally diversified investors, the derived dynamic currency hedging strategy with ambiguity is stable, robust, and highly risk reductive. It outperforms the benchmarks of constant hedging as well as dynamic approaches without ambiguity in terms of lower maximum drawdown and higher Sharpe and Sortino ratios in gross terms and net of transaction costs.

Zaenkrat je predvideno, da bo predavanje potekalo v živo, bomo pa poskusili organizirati tudi prenos prek videokonferenčnega sistema ZOOM. https://uni-lj-si.zoom.us/j/95492285750 ID: 954 9228 5750 Vljudno vabljeni!