美國投資者投資日本股票
covariance between the local currency return on local asset and change in the USD/YEN = -0.184
variance of changes in the USD/YEN = 0.92
minimum variance hedge ratio = 1+ (-0.184/0.92)
=0.8
如果Hedge yen , 等於 short 0.8張日元合約?
-0.184/0.92 = - 0.2
如果只Hedge economic risk 是否 買入0.2日元合約 |