| Summary: | 碩士 === 長庚大學 === 企業管理研究所 === 95 === Abstract
Rate of exchange was always moving quickly when global economic environment changed. Some of enterprises usually did some hedging by
Forward and Options for keeping their profit. Of course, they had to pay cost for such activities. The shipping industry run a global business and always had cash flow with multiple currencies. Self-hedging should be another alternative for cash management.
For testing the effect of self-hedging via currency portfolio in shipping industry, this study established a portfolio model using Microsoft Excel Solver. Sample company existed three main exposure position USD, EUR and JPY. This study tried to get a conclusion by comparing the portfolio return and variance between actual portfolios with model estimated.
This study found that the portfolio return was negative under minimum variance assumption. When we changed the assumption to maximum return, and then the portfolio return and variance increased a lot at the same time. The truth was showing us the rule of investment again. The higher expected return was always following the higher risk. When we put actual portfolio done by sample company to the model. The portfolio variance was higher than minimum variance, but portfolio return was changed to positive.
We have achieved a result after running through our portfolio model. The actual currency portfolio could not reach the level of minimum risk. But sample company only incurred slight loss from rate of exchange in cash position. Obviously their currency portfolios were staying at reasonable area under acceptable risk. All in all, the strategy for hedging via currency portfolio in shipping industry was workable.
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