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Persistent link: https://www.econbiz.de/10013438303
This paper studies portfolio choice with popular foreign exchange (FX) investment styles such as carry trades, FX momentum and FX value strategies. We go beyond the benefits from hedging to shed more light on the speculative component of currency investments. In particular, we are interested in...
Persistent link: https://www.econbiz.de/10013115027
The components of GDP (residential investment, durables, nondurables, equipment and software, and business structures) display a pronounced lead-lag structure. We investigate the implications of this lead-lag structure for the cross-section of asset returns. We find that the leading GDP...
Persistent link: https://www.econbiz.de/10013082628
Optimization of international securitized real estate portfolios has been a key topic for several decades. However, most previous analysis has focused on regional diversification by applying the traditional mean-variance (MV) framework suggested by Markowitz (1952) even if the limitations of...
Persistent link: https://www.econbiz.de/10003969883
Persistent link: https://www.econbiz.de/10009356988
The components of GDP (residential investment, durables, nondurables, equipment and software, and business structures) display a pronounced lead-lag structure. We investigate the implications of this lead-lag structure for the cross-section of asset returns. We find that the leading GDP...
Persistent link: https://www.econbiz.de/10009745579
Persistent link: https://www.econbiz.de/10009696565
Persistent link: https://www.econbiz.de/10010356482
This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits can be achieved by style investing in FX markets...
Persistent link: https://www.econbiz.de/10008938019
This 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...
Persistent link: https://www.econbiz.de/10008901843