국민연금기금의 적정 환헤지 비율에 관한 연구 = A Research on the Optimal Foreign Exchange Hedge Ratio

참고문헌 (Reference)

1 Black,F., "Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios" 45 : 16-22, 1989

2 Perold, A, "The Free Lunch in Currency Hedging: Implications for Investment Policies and Performance Standards" 44 (44): 45-50, 1988

3 Fisher, K. L, "Sentiment, Value, and Market Timing" 13 (13): 10-21, 2004

4 CalPERS, "Quarterly Performance Reports" 2004

5 Markowitz, H. M, "Portfolio Selection" 7 (7): 77-91, 1952

6 Harris, L, "Is There Still Alpha to be Gained in Active Currency Management"

7 ABP, "Investment Policy"

8 GPIF, "Fund Operations"

9 Campbell, J, "Foreign Currency for Long-Term Investors" NBER Working Paper 2002

10 Black,Fischer, "Equilibrium Exchange Rate Hedging" 45 (45): 1990

11 Froot, K. A, "Currency Hedging over Long Horizons" National Bureau of Economic Research 1993

12 CDP, "Annual Report" 2003

13 유시용, "2006년 국민연금기금의 자산배분"