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https://hdl.handle.net/10419/48705
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Schindler, Felix | en |
dc.contributor.author | Kröncke, Tim-Alexander | en |
dc.date.accessioned | 2011-08-12T09:51:09Z | - |
dc.date.available | 2011-08-12T09:51:09Z | - |
dc.date.issued | 2011 | - |
dc.identifier.uri | http://hdl.handle.net/10419/48705 | - |
dc.description.abstract | This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the perspective of a US investor, it is shown that first, international diversification is superior to a US mixed-asset portfolio, second, adding international real estate to an already internationally diversified stock and bond portfolio results in a further significant improvement of the risk-return trade-off and, third, considering unhedged international assets could lead to biased asset allocation decisions not realizing the true diversification benefits from international assets. Our in-sample results are quite robust in out-of-sample analysis and when investment frictions like short selling constraints are introduced. | en |
dc.language.iso | eng | en |
dc.publisher | ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft |xKiel und Hamburg | en |
dc.relation.ispartofseries | |aBeiträge zur Jahrestagung des Vereins für Socialpolitik 2011: Die Ordnung der Weltwirtschaft: Lektionen aus der Krise - Session: Financial Economics |xF6-V1 | en |
dc.subject.jel | G12 | en |
dc.subject.jel | G15 | en |
dc.subject.jel | G11 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Diversification Benefits | en |
dc.subject.keyword | International Mixed-Asset Portfolios | en |
dc.subject.keyword | Currency Hedging | en |
dc.subject.keyword | Spanning Tests | en |
dc.subject.keyword | Short Selling Constraints | en |
dc.title | International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk | - |
dc.type | Conference Paper | en |
dc.identifier.ppn | 671868756 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:vfsc11:48705 | en |
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