国际投资(间接投资部分全英)课程.ppt

1 - * Hedged Portfolio - Example the profit on the hedge portfolio in euros is: Profit = 10,350,000 x 0.94 – 10,000,000 x 1 – 10,000,000 x (0.94 - 1) Profit = 329,000 The rate of return on the hedged portfolio is 329,000/10,000,000 = 3.29% Or we could directly apply Equation: Return = -2.71% + 6% = 3.29% 1 - * Minimum Variance Hedge Ratio One objective is to search for minimum variability in the value of the hedged portfolio. Investors would like to set the hedge ratio, h, so as to minimize the variance of the return on the hedged portfolio. 1 - * Minimum Variance Hedge Rati