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UID:42@zqfa.ch
DTSTART;TZID=Europe/Zurich:20220324T183000
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URL:https://www.zqfa.ch/events/zqfa-meetup-26-dynamic-currency-hedging/
SUMMARY:ZQFA Meetup #26: Dynamic Currency Hedging
DESCRIPTION:We are very happy to invite you to the first virtual ZQFA Meetu
 p this year. It is our great pleasure to announce our guest speaker\, Urba
 n Ulrych\, PhD student at UZH and Quantitative Strategist at Credit Suisse
 . In this meetup\, our guest will guide us through one of his most recent 
 papers on Dynamic Currency Hedging\, and will share his insights and exper
 ience on the PhD opportunities that the University of Zurich has to offer.
 \n\nUrban Ulrych - PhD candidate (UZH) / Quantitative Strategist (Credit S
 uisse)\nTopic: "Dynamic Currency Hedging with Non-Gaussianity and Ambigui
 ty"\nAbstract: This paper introduces a non-Gaussian dynamic currency hedgi
 ng strategy for globally diversified investors with ambiguity. Assuming th
 at ambiguity of a typical investor can be measured from market data\, we a
 ssociate it to non-Gaussianity of financial asset returns and compute an o
 ptimal ambiguity-adjusted mean-variance (dynamic) currency allocation. Nex
 t\, we extend the filtered historical simulation method to numerically opt
 imize an arbitrary risk measure\, such as the expected shortfall. The out-
 of-sample backtest results show that the derived non-Gaussian dynamic curr
 ency hedging strategy outperforms the benchmarks of constant hedging and d
 ynamic hedging with Gaussianity for all base currencies and net of transac
 tion costs.\nLink: Dynamic Currency Hedging with Non-Gaussianity and Ambi
 guity\n\nAs we already successfully experienced for previous events\, the 
 event will be held on Zoom due to the current COVID-19 measures. You can j
 oin at the following link:\n\nZoom Link\n\nAfter a the talk\, we will have
  a Q&amp\;A session and then we would like to set up breakout rooms to hav
 e a more interactive and informal networking.\n\nLooking forward to seeing
  you at the event!\n\nYour ZQFA-Team
CATEGORIES:Meetup
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