TY - CONF T1 - Currency Risk and International Diversification of Property Investment T2 - 8th European Real Estate Society Conference Y1 - 2001 A1 - Addae-Dapaah, Kwame A1 - Hui Siang, Yeo AB - The paper focuses on the impact of exchange rate volatility on international diversification of direct investment in property for the period 1986-1997 inclusive. After computing the currency unadjusted and adjusted returns and risk for, and correlation of returns between the sampled countries, Matlab Optimization Toolbox is used to determine the optimal portfolio composition. It is found, through statistical tests, that although the upside/downside currency risk of a single foreign countryĆ­s property investment can be substantial, the risk is not statistically significant. Similarly, the difference between the unadjusted and adjusted optimal portfolio returns is found to be statistically insignificant to imply that hedging may not be necessary for a well-diversified portfolio of international real estate investment. JA - 8th European Real Estate Society Conference T3 - ERES: Conference CY - Alicante, Spain U3 - RePEc:arz:wpaper:eres2001_102 J1 - Conference 2001 ID - oai:eres.id:eres2001_102 M3 - 10.15396/eres2001_102 ER -