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Evaluating strategies for foreign exchange risk reduction

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5 Author(s)
Everson, M.P. ; e-Technol. Dept., Ford Res. Labs., Dearborn, MI, USA ; Mangin, C.G.E. ; Stumpo, C. ; Schwartz, J.M.
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Companies' risk due to foreign exchange (FX) rates can be reduced using market-based instruments. We have used the value-at-risk methodology to evaluate FX risk, and have developed a genetic algorithm-based optimization framework for evaluating different strategies. The best strategy is to hedge an identical percentage of each FX exposure

Published in:

Evolutionary Computation, 2002. CEC '02. Proceedings of the 2002 Congress on  (Volume:1 )

Date of Conference:

12-17 May 2002

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