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Paper eres2001_102:
Currency Risk and International Diversification of Property Investment

id eres2001_102
authors Addae-Dapaah, Kwame; Hui Siang, Yeo
year 2001
title Currency Risk and International Diversification of Property Investment
source 8th European Real Estate Society Conference (26-29 June 2001) Alicante, Spain
summary The paper focuses on the impact of exchange rate volatility on international diversification of direct investment in property for the period 1986-1997 inclusive. After computing the currency unadjusted and adjusted returns and risk for, and correlation of returns between the sampled countries, Matlab Optimization Toolbox is used to determine the optimal portfolio composition. It is found, through statistical tests, that although the upside/downside currency risk of a single foreign country’s property investment can be substantial, the risk is not statistically significant. Similarly, the difference between the unadjusted and adjusted optimal portfolio returns is found to be statistically insignificant to imply that hedging may not be necessary for a well-diversified portfolio of international real estate investment.
series ERES:conference
content file.pdf (87,274 bytes)
discussion No discussions. Post discussion ...
session Portfolio I
last changed 2009/07/10 18:07
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