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Hedging Decisions Within the Overall Asset Allocation Strategy
Evaluating Currencies as a Separate Asset Class
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100 percent asset allocation asset allocation decision assumption basis points benchmark bond market bond portfolio central bank Chicago Investment Advisors correlation currency exposure currency hedge policy currency return currency risk currency volatility equity markets exchange rates exchange-rate expected return FIGURE Fischer Black foreign assets foreign currency foreign equity foreign exchange forward contracts forward premium forward rate free lunch fully hedged futures contracts global hedged and unhedged hedged foreign bonds hedged non-dollar hedged portfolio hedging currency international assets international equities international investing J.P. Morgan Investment Kritzman liabilities long run Merrill Lynch Morgan Investment Management non-U.S. bonds normal policy normal portfolio optimal hedge ratio option strategy plan sponsors portfolio risk positive purchasing power parity put option reduces risk premium risk reduction Rosenberg Siegel's paradox Source spot rate standard deviation transaction costs U.S. bond market U.S. dollar U.S. investors unhedged unhedged non-dollar bonds United West Germany Windham Capital Management zero