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    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62012

    Title: Intertemporal risk and currency risk
    Authors: Hung, Mao-Wei;Chang, J
    教師: 張焯然
    Date: 2006
    Publisher: springer
    Relation: Encyclopedia of Finance, Springer Science + Business Media, U.S.A., springer,2006年
    Keywords: Intertemporal
    Abstract: Empirical work on portfolio choice and asset pricing has shown that an investor’s current asset demand is affected by the possibility of uncertain changes in future investment opportunities. In addition, different countries have different prices for goods when there is a common numeraire in the international portfolio choice and asset pricing. In this survey, we present an intertemporal international asset pricing model (IAPM) that prices market hedging risk and exchange rate hedging risk in addition to market risk and exchange rate risk. This model allows us to explicitly separate hedging against changes in the investment opportunity set from hedging against exchange rate changes as well as separate exchange rate risk from intertemporal hedging risk.
    URI: http://books.google.com.tw/books?id=I6BH-RKYVG4C&lpg=PA324&ots=cYF_9jIXMx&dq=Intertemporal%20risk%20and%20currency%20risk&pg=PA324#v=onepage&q=Intertemporal%20risk%20and%20currency%20risk&f=false
    Appears in Collections:[計量財務金融學系] 專書論文

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