歧义、最优货币叠加和本国货币偏差

Urban Ulrych, N. Vasiljević
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引用次数: 1

摘要

本文解决了风险和模糊性厌恶的国际投资者确定最佳货币配置的问题。采用平滑模糊偏好的稳健均值-方差模型推导出最优货币敞口。本文的理论部分表明,样本有效货币需求可以作为广义岭回归的解来计算。通过这些结果,我们证明了我们的模型提供了一个新的解释,即在极端模糊性厌恶下,本国货币偏差是最优货币配置。投资者对模型不确定性的厌恶导致了不成比例的高货币对冲需求。实证分析表明,模糊性如何导致更大的估计偏差,同时缩小了最优货币敞口的置信区间。样本外回检验表明,考虑模糊性增强了最优货币配置的稳定性,显著提高了经风险调整后的投资组合净交易成本绩效。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Ambiguity, Optimal Currency Overlay, and Home Currency Bias
This paper addresses the problem of determining an optimal currency allocation for a risk-and-ambiguity-averse international investor. A robust mean-variance model with smooth ambiguity preferences is used to derive the optimal currency exposure. The theoretical part of the paper shows that the sample-efficient currency demand can be calculated as the solution to a generalized ridge regression. Through the lens of these results, we demonstrate that our model offers a new explanation of the home currency bias as the optimal currency allocation under extreme ambiguity aversion. The investor's dislike for model uncertainty induces a disproportionately high currency hedging demand. The empirical analysis demonstrates how ambiguity leads to a larger estimation bias and simultaneously narrows the confidence interval of the optimal currency exposure. The out-of-sample backtest illustrates that accounting for ambiguity enhances the stability of optimal currency allocation and significantly improves the risk-adjusted portfolio performance net of transaction costs.
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