Investor Benefits from International Portfolio Diversification
Author: Sheldon Novack
Publisher:
Published: 1973
Total Pages: 338
ISBN-13:
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Author: Sheldon Novack
Publisher:
Published: 1973
Total Pages: 338
ISBN-13:
DOWNLOAD EBOOKAuthor: Minji Yoo
Publisher:
Published: 2006
Total Pages: 146
ISBN-13:
DOWNLOAD EBOOKAuthor: Iván Felipe Rico Gutiérrez
Publisher:
Published: 2004
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Faranak Roshani Zafaranloo
Publisher:
Published: 2013
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Francois-Serge Lhabitant
Publisher: Elsevier
Published: 2017-09-26
Total Pages: 276
ISBN-13: 0081017863
DOWNLOAD EBOOKPortfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. Focuses on portfolio diversification across all its dimensions Includes recent empirical material that was created and developed specifically for this book Provides several tools to quantify and implement optimal diversification
Author: Theodore Michael Johnson
Publisher:
Published: 1989
Total Pages: 148
ISBN-13:
DOWNLOAD EBOOKAuthor: Maryam Jamei
Publisher:
Published: 2005
Total Pages:
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DOWNLOAD EBOOKAuthor: Onousa Boontanorm
Publisher:
Published: 2010
Total Pages: 72
ISBN-13:
DOWNLOAD EBOOKThis thesis explores the topic of diversification opportunities in international real estate, with focus on private real estate markets in developed countries. In examining the characteristics of returns and interrelatedness between international real estate, stocks and bonds markets from the time period spanning 2000 to 2009, we find that 2008 was the only year within the past decade in which several countries saw synchronized negative returns on a calendar year basis in the stocks and real estate markets, and even so the synchronized negative returns was only experienced by half of the countries within the 10-country opportunity set. The amplitude of the peak to trough drop in the cumulative value of the assets was small in real estate on average relative to that of stocks. These findings suggest that investors' should benefit from holding international real estate within their portfolios, even in an extreme down market. Modern portfolio theory is used to analyze and compare ex-ante diversification opportunities in international real estate, stocks and bonds and domestic diversification opportunities for the three asset classes from the perspectives of U.S. and European investors. We project expected returns for each of the markets and used historical risks (volatility) from the 2000-2009 period as estimates for volatility. When returns are calculated in local currencies, international diversification in the real estate portfolio (diversified within a 10-country opportunity set) should help U.S. investors substantially improve their portfolio risk-return efficiency relative to domestic diversification (within a 6-metropolitan area opportunity set), as the markets within the U.S. domestic opportunity set provide unattractive risk-return efficiency and their movements are highly correlated. By contrast, European investors will benefit less from the same international diversification strategy relative to domestic diversification (within 5 Eurozone countries) as several Eurozone markets are able to provide considerable risk-return efficiency and low correlations can be found in some pairs of markets. Applying home bias and limits on exposure to any single country i.e. country caps to the portfolio allocation helps to balance the allocation weights for the investor's portfolio but also significantly limits the investor's ability to take advantage of diversification opportunities provided by the international markets. When returns are calculated in the investors' domestic currencies, additional currency risk increases the portfolio volatility without providing additional expected return, reducing diversification benefits of international real estate. Even so, international diversification potential to U.S. investors should still be considerable, while that to European investors' should be minimal.
Author: Sohnke M. Bartram and Gunter Dufey
Publisher:
Published: 2001
Total Pages: 123
ISBN-13:
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