@inproceedings{Schindler2011International,
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.},
author = {Felix Schindler and Tim-Alexander Kr\"{o}ncke},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G12; G15; G11; 330; Diversification Benefits; International Mixed-Asset Portfolios; Currency Hedging; Spanning Tests; Short Selling Constraints},
language = {eng},
number = {F6-V1},
publisher = {ZBW - Deutsche Zentralbibliothek f\"{u}r Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft},
series = {Beitr\"{a}ge zur Jahrestagung des Vereins f\"{u}r Socialpolitik 2011: Die Ordnung der Weltwirtschaft: Lektionen aus der Krise - Session: Financial Economics},
title = {International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk},
url = {http://hdl.handle.net/10419/48705},
year = {2011}
}
