RT Journal Article SR Electronic T1 Currency-Hedging Optimization for Multi-Asset Portfolios JF The Journal of Portfolio Management FD Institutional Investor Journals SP 100 OP 113 DO 10.3905/jpm.2018.44.2.100 VO 44 IS 2 A1 Helen Guo A1 Laura Ryan YR 2017 UL https://pm-research.com/content/44/2/100.abstract AB Institutional investors with global multi-asset portfolios often make currency-hedging decisions asset by asset rather than for the overall portfolio. Many impose uniform hedge ratios at the portfolio or asset level. The authors instead argue for portfolio-level currency-hedging optimization allowing currency-specific hedge ratios and propose an analytical framework based on marginal risk–return trade-offs to quantify and explain the efficiency loss due to the common practices. A mean-CVaR optimization framework is utilized to capture tail risk with non-normal returns. To emphasize the importance of base currency for the currency-hedging optimization, the authors perform sample optimizations for AUD-, JPY-, and USD-based investors.TOPICS: Portfolio construction, VAR and use of alternative risk measures of trading risk