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PRODID:-//Memento EPFL//
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SUMMARY:Global Currency Hedging with Ambiguity
DTSTART:20221122T120000
DTEND:20221122T130000
DTSTAMP:20260407T051404Z
UID:722bab4ec9978e57cf631f202fea5bd33245af175913ac0445a89ff4
CATEGORIES:Conferences - Seminars
DESCRIPTION:Urban Ulrych\, Postdoc\, SFI@EPFL\nThis paper addresses the pr
 oblem of optimal currency allocation for a risk-and-ambiguity-averse inter
 national investor. A robust mean-variance model with smooth ambiguity pref
 erences is used to derive the optimal currency exposure in closed form. In
  the theoretical part of the paper\, we characterize the sample-efficient 
 currency hedging demand as the solution to a generalized ridge regression.
  Through the lens of these results\, we show that the investor's dislike f
 or model uncertainty induces stronger currency hedging demand. The empiric
 al analysis demonstrates how ambiguity leads to a larger estimation bias a
 nd simultaneously narrows the confidence interval of the sample efficient 
 optimal currency exposure. The out-of-sample backtest illustrates that acc
 ounting for ambiguity enhances the stability of optimal currency allocatio
 n over time and significantly reduces portfolio volatility net of transact
 ion costs.\n\n 
LOCATION:UniL Campus\, Room Extra 126
STATUS:CONFIRMED
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