An Application of Portfolio Insurance Strategies in FOREX market
This dissertation proposes two dynamic capital allocation methods of hedging foreign exchange risks of payables denominated in foreign currencies. One strategy is synthetic call option strategy based on currency pricing formula; the other strategy is constant proportion portfolio insurance (CPPI) st...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2010
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| Online Access: | https://eprints.nottingham.ac.uk/24147/ |