TY  - UNPD
A1  - Maurer, Raimond
A1  - Reiner, Frank
T1  - International asset allocation with real estate securities in a shortfall risk framework : the viewpoint of German and US investors
T2  - Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 82
N2  - The present paper seeks to study the possible diversification potential by the integration of indirect real estate investments in international portfolios. To this end, monthly index-return time-series in the time-period from January 1985 till December 1998 from real estate investment companies as well as common stocks and bonds in Germany, France, Switzerland, Great Britain and the USA were used. We utilize, due to the critical normal distribution assumption, a mean/lower-partial-moment framework. In order to take into account the influence of the currency risk for international investments the analyses have been undertaken both with as well as without hedging the currency risk. We take the viewpoint of a German as well as that of a US-investor to gain insight into the dependency of the diversification potential on the reference currency of the investor.
T3  - Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting - 82 
KW  - Real Estate Securities
KW  - International Portfolio Choice
KW  - Shortfall Risk
KW  - Deutschland
KW  - Portfoliomanagement
KW  - Immobilienfonds
KW  - Portfolio-Investition
KW  - Risiko
Y1  - 2001
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/55377
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-553777
UR  - https://www.econbiz.de/archiv/f/uf/finanzierung/international_asset_allocation.pdf
SN  - 1434-3401
PB  - Johann-Wolfgang-Goethe-Universität, Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
CY  - Frankfurt am Main
ER  -