Hedging měnového rizika akciových investic

Abstract

The work is focused on application hedging strategies to ensure the currency risk investor whose domestic currency is the Czech crown. The aim of the project is a follow-up analysis and applications selected hedging strategy to ensure the currency risk of stock investment. The aim of investments is an assessment of invested funds in stock indices in seven countries. Attention is paid to the following strategies: covered position, forward and put option. The application of the work is included the determination of input parameters, the valuation of derivatives under Black-Scholes model and evaluation of various hedging strategies. The evaluation is done for each of the hedged currency, and also separately for the portfolio of currencies consisting of the seven selected currencies. Part of the chapter is devoted to the interpretation of evaluation criteria of the portfolio of currencies in a situation where investment body closes prematurely. The result is a solution to the choice of hedging strategy recommendations for the currency and the currencies of the total portfolio view of the relationship with the investor to the risk and yield.