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has been cited by the following article:

• TITLE: The Hidden Risk Factor

  AUTHORS: J. H. Witte, D. Ples, J. Corominas

  KEYWORDS: Currency Risk; Risk Premium; Risk Factor; FX Hedge; Currency Overlay

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.3A, October 8, 2013

  ABSTRACT: To achieve maximum returns consistent with an investor’s appetite for risk, the correct identification and estimation of all relevant risk factors in a portfolio are necessary. In this paper, we identify the role of foreign currency as an important risk factor from an international investor’s point of view.