Applications of FX derivatives to portfolio management

IF 1.5 Q3 BUSINESS, FINANCE
Redouane Elkamhi, Frank J. Fabozzi, Jacky S. H. Lee, Marco Salerno, Kari Vatanen, Suprita Vohra
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引用次数: 0

Abstract

This article demonstrates the use of foreign-exchange (FX) derivatives in portfolio management, highlighting the strategic applications of FX forwards, futures, swaps, and options. It begins by detailing how these derivatives help institutional investors mitigate the adverse effects of currency fluctuations on internationally diversified portfolios. A significant focus is placed on currency hedging with derivatives overlays, which consolidate currency exposures across asset classes into a centralized management function, thereby enhancing overall risk management. The article also delves into the strategic uses of FX options, which offer flexible, tailored risk management strategies crucial for handling the complex dynamics of global financial markets. Through real-world examples and theoretical insights, the article illustrates the critical role of FX derivatives in stabilizing portfolio returns and managing exposure to currency risks.

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外汇衍生品在投资组合管理中的应用
本文展示了外汇衍生品在投资组合管理中的应用,重点介绍了外汇远期、期货、掉期和期权的战略应用。文章首先详细介绍了这些衍生工具如何帮助机构投资者减轻货币波动对国际多元化投资组合的不利影响。文章重点介绍了利用衍生品套期保值进行货币对冲的方法,这种方法将不同资产类别的货币风险整合到一个集中管理功能中,从而加强了整体风险管理。文章还深入探讨了外汇期权的战略用途,它提供了灵活、量身定制的风险管理策略,对于处理全球金融市场的复杂动态至关重要。文章通过实际案例和理论见解,说明了外汇衍生品在稳定投资组合回报和管理货币风险暴露方面的关键作用。
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来源期刊
Journal of Asset Management
Journal of Asset Management BUSINESS, FINANCE-
CiteScore
4.10
自引率
0.00%
发文量
44
期刊介绍: The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics
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