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Safe-Haven Currencies as Defensive Assets in Global Stocks Portfolios: A Reassessment of the Empirical Evidence (1999–2022)

Author

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  • Marco Tronzano

    (Department of Economics, School of Social Sciences, University of Genoa, Via Vivaldi 5, 16126 Genoa, Italy)

Abstract

This paper reassessed the hedging properties of four major safe-haven currencies (US dollar, Swiss franc, euro, yen) in international stock portfolios covering most representative world macroeconomic areas. The main contribution to the existing literature is the emphasis on optimal hedging and asset-allocation strategies. A further distinguishing feature is an accurate comparison, inside a multivariate framework, between value-at-risk simulations assuming equal or optimal asset weights in hedged global stock portfolios. The US dollar stands out as the best safe-haven currency, while adding the US currency to single-hedged global stock portfolios including either the Swiss franc or the euro yields smooth risk profiles during major financial crises, and average risk indicators lower than that of a benchmark fully hedged portfolio.

Suggested Citation

  • Marco Tronzano, 2023. "Safe-Haven Currencies as Defensive Assets in Global Stocks Portfolios: A Reassessment of the Empirical Evidence (1999–2022)," JRFM, MDPI, vol. 16(5), pages 1-23, May.
    • Handle: RePEc:gam:jjrfmx:v:16:y:2023:i:5:p:273-:d:1147407
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    References listed on IDEAS

    as
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