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Jahrestagung des Vereins für Socialpolitik 2011 (Frankfurt a. M.): Die Ordnung der Weltwirtschaft - Lektionen aus der Krise >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/48705
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Schindler, Felix | | en_US |
| dc.contributor.author | | Kröncke, Tim-Alexander | | en_US |
| dc.date.accessioned | | 2011-08-12T09:51:09Z | | - |
| dc.date.available | | 2011-08-12T09:51:09Z | | - |
| dc.date.issued | | 2011 | | en_US |
| 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_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft Kiel und Hamburg | | en_US |
| dc.relation.ispartofseries | | Beiträge zur Jahrestagung des Vereins für Socialpolitik 2011: Die Ordnung der Weltwirtschaft: Lektionen aus der Krise - Session: Financial Economics F6-V1 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | G15 | | en_US |
| dc.subject.jel | | G11 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Diversification Benefits | | - |
| dc.subject.keyword | | International Mixed-Asset Portfolios | | - |
| dc.subject.keyword | | Currency Hedging | | - |
| dc.subject.keyword | | Spanning Tests | | - |
| dc.subject.keyword | | Short Selling Constraints | | - |
| dc.title | | International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk | | en_US |
| dc.type | | Conference Paper | | en_US |
| dc.identifier.ppn | | 671868756 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:vfsc11:48705 | | - |
| Appears in Collections: | | Jahrestagung des Vereins für Socialpolitik 2011 (Frankfurt a. M.): Die Ordnung der Weltwirtschaft - Lektionen aus der Krise
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