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...

Academic and practitioner research has presented strong evidence in support of the addition of commodity futures contracts to a diversified stock portfolio to enhance the risk-return characteristics of the portfolio. Moreover, it is well documented that diversification among risky assets in a...

In establishing the foundation of their investment process, global equity investors typically adopt a framework along geographic and/or industry dimensions. The chosen framework is then applied to the whole investment process including alpha generation, portfolio construction, and risk...

Increasing correlation among international equity markets has prompted investors to seek new investment opportunities. To shed light on this issue for U.S. investors, this paper measures economic benefits of international equity diversification using mean-variance and higher-moments frameworks...

This paper re-examines the performance of the "Dogs of the Dow" (DoD) investment strategy in a different market setting and over a different time period. In particular, we use Finnish data over the period 1988-2008 to examine whether the DoD strategy can be successfully replicated in different...

The purpose of this doctoral thesis is clearly established: to understand whether fund of hedge funds based portable alpha strategies provide tools for better investment results commensurate with risk and costs.A finance literature review is presented, which also delves into the roots of hedge...

We derive the optimal currency portfolio of an equity investor with no forecasting ability. This can be estimated based on observable parameters, including equity and currency covariances and the proportion of the investor's wealth held in risky assets. The currency position depends on the...

This article extends the parametric portfolio policy approach to optimizing portfolios with a large numbers of assets (Brandt, et al. 2009). The proposed approach incorporates unobserved effects into the portfolio policy function. These effects measure the importance of unobserved heterogeneity...

Although the economic recovery seems off to a stronger start than anticipated earlier, there are considerable differences between the various regions. Emerging and developing economies are expected to benefit from strong internal demand while for most advanced economies the recovery is expected...

The existence of country-specific risk factors that could be mitigated by international investments is investigated. An innovative methodology for quantifying the benefits of international diversification is also proposed and tested. In order to overcome many of the problems that arise in the...