Artículos de revistas
¿Existen ganancias por la cobertura de riesgo cambiario en un portafolio de acciones global, desde la perspectiva de un inversionista colombiano?
Fecha
2011-07-06Autor
Maya Ochoa, Cecilia
Jaramillo Ospina, Catalina María
Montoya Madrigal, Lina María
Institución
Resumen
This study looks for gains in terms of
efficiency for local investors with an
internationally diversified portfolio
by hedging the exchange risk. To
estimate an optimum portfolio with a
minimum variance we used a robust
methodology which allowed us to
make statistical inference and prove
that international diversification reduces portfolio risk for local investors.
This methodology is applied to stock
portfolios held by a Colombian and a
Mexican investor, and the conclusion
is that hedging exchange rate risk
can reduce the risk of the portfolio,
with the possible exception of a high
negative correlation between the exchange rate and the local stock index.