%0 Journal Article %A Helen Guo %A Laura Ryan %T Currency-Hedging Optimization for Multi-Asset Portfolios %D 2017 %R 10.3905/jpm.2018.44.2.100 %J The Journal of Portfolio Management %P 100-113 %V 44 %N 2 %X 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 %U https://jpm.pm-research.com/content/iijpormgmt/44/2/100.full.pdf