This paper aims to investigate the efficiency of different hedging strategies for an investor holding a portfolio of foreign currency bonds.,The simplest strategies of no hedge and fully hedged are compared with the more sophisticated strategies of the ordinary least squares (OLS) approach and the optimal hedge ratios found by the dynamic conditional correlation-generalised autoregressive conditional heteroskedasticity approach.,The sophisticated hedging strategies are found to be superior to the simple strategies because they lower the portfolio risk in domestic currency terms and improve the Sharpe ratios for multi-asset portfolios. The analyses also show that both the OLS and dynamic hedging strategies imply holding a limited carry position by being long in high-yielding currencies but short in low-yielding currencies.,The performance of multi-currency portfolios is examined using more realistic assumptions than in the previous literature, including a weekly frequency and a constraint of no short selling. Furthermore, carry trades are shown to be part of an optimal portfolio.

中文翻译：

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最佳货币对冲和套利交易

本文旨在研究持有外币债券投资组合的投资者不同套期策略的效率。将最不套期和完全套期的策略与更复杂的普通最小二乘（OLS）策略进行比较。通过动态条件相关-广义自回归条件异方差方法找到最佳对冲比率。复杂的对冲策略被发现优于简单策略，因为它们降低了以本币计算的投资组合风险并提高了多资产投资组合的夏普比率。 。分析还显示，OLS和动态套期保值策略都暗示持有有限的套利头寸，因为它们在高收益货币中做多，而在低收益货币中做空。使用比以前的文献更实际的假设来检验多货币投资组合的绩效，其中包括每周一次的交易频率和无卖空的约束。此外，套利交易被证明是最优投资组合的一部分。