The Optimal Construction of Internationally Diversified Equity Portfolios Hedged Against Exchange Rate Uncertainty
实证检验了在参数不确定性下，优化货币权重策略是否优于简单统一对冲或不进行对冲的国际投资策略，发现统一对冲策略表现最佳。
Much of the empirical work on hedging exchange rate exposure in portfolios of financial assets has used a unitary hedge ratio, or a currency overlay. Alternatively, the currencies themselves can be treated as assets and the position in them optimized. This study empirically tests whether the ex post results of recent studies, which conclude that currencies should themselves be optimized, stand up under parameter uncertainty. It may very well be that ex ante, when parameter inputs must be estimated from historical data, the attempt to determine the optimal currency weights results in inferior performance in comparison to using a simple unitary hedging strategy, or even unhedged international investment. The results suggest that a local currency return unitary hedging strategy works best in the presence of parameter uncertainty.