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dc.contributor.authorSchindler, Felixen_US
dc.contributor.authorKröncke, Tim-Alexanderen_US
dc.date.accessioned2011-08-12T09:51:09Z-
dc.date.available2011-08-12T09:51:09Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/48705-
dc.description.abstractThis 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.isoengen_US
dc.publisherZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft Kiel und Hamburgen_US
dc.relation.ispartofseriesBeiträge zur Jahrestagung des Vereins für Socialpolitik 2011: Die Ordnung der Weltwirtschaft: Lektionen aus der Krise - Session: Financial Economics F6-V1en_US
dc.subject.jelG12en_US
dc.subject.jelG15en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.subject.keywordDiversification Benefits-
dc.subject.keywordInternational Mixed-Asset Portfolios-
dc.subject.keywordCurrency Hedging-
dc.subject.keywordSpanning Tests-
dc.subject.keywordShort Selling Constraints-
dc.titleInternational Diversification with Securitized Real Estate and the Veiling Glare from Currency Risken_US
dc.typeConference Paperen_US
dc.identifier.ppn671868756en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:vfsc11:48705-
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2011: Die Ordnung der Weltwirtschaft - Lektionen aus der Krise

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