Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection
开发了浮动汇率下国际投资组合的事前有效选择策略，发现汇率不确定性是难以分散的风险，需通过多币种分散和远期合约对冲来控制，实证表明这些策略几乎持续优于美国国内投资组合。
ABSTRACT In this paper, ex ante efficient portfolio selection strategies are developed to realize potential gains from international diversification under flexible exchange rates. It is shown that exchange rate uncertainty is a largely nondiversifiable factor adversely affecting the performance of international portfolios. Therefore, it is essential to effectively control exchange rate volatility. For that purpose, two methods of exchange risk reduction are simultaneously employed: multicurrency diversification and hedging via forward exchange contracts. The empirical findings show that international portfolio selection strategies designed to control both estimation and exchange risks almost consistently outperform the U.S. domestic portfolio in out‐of‐sample periods.