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| International Asset Allocation with Real Estate
Securities in a Shortfall Risk Framework: The Viewpoint of German and U.S. Investors Authors: Raimond Maurer* and Frank Reiner** Start Page:27 Abstract: This study analyses the diversification potential of integrating indirect real estate investments in international investment portfolios. To this end, monthly index-return time-series for the time-period from January, 1985, through June, 2001, from real estate investment companies, common stocks and bonds in France, Germany, Great Britain, Switzerland and the United States were used. Due to the critical normal distribution assumption, a mean/lower-partial-moment framework was employed. In order to take into account the influence of the currency risk for international investments, the analyses have been undertaken with and without hedging the currency risk. The viewpoint of a German as well as that of a U.S. investor was taken to gain insight into the dependency of the diversification potential on the reference currency of the investor.
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