An Empirical Investigation of International Asset Allocation from Chinese Perspective

摘要：

In this paper, we study the risk management in the international asset allocation problem. We employ the forward contract to hedge the exchange rate risk in the international investment and compare the consequence of different forward contracts with various terms from the perspective of Chinese investors. By using seven countries’ stock and bond data, we carry out the domestic market is more preferred during the period of the latest crisis for relatively stable RMB. We also find that portfolios with bonds are more robust in both situations. Moreover, Hedging like forwards can eliminate exchange rate risk, while selecting an appropriate term is very important.

关键词： international diversification exchange rate risk forwards term

作者: Qin Zhang Mei Yu

作者单位: School of Banking and FinanceUniversity of International Business and EconomicsBeijing, 100029, Chin Center of Applied Finance, School of Banking and Finance University of International Business and Ec

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 336-339

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）