Numeraire Effects in International Portfolio Investment

A. Alford

Working Papers from Melbourne - Centre in Finance

Abstract: The returns from international investment involve returns from not only the asset, but also the return from the exchange rate fluctuations. This means that investors from different countries have the potential to earn different returns from the same investment strategy. The change of numeraire therefore has the potential to alter those strategies. This paper illustrates the effect of changing numeraire on basic measures of risk and return.

Keywords: FINANCIAL MARKET; INVESTMENTS (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Pages: 30 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:fth:melrfi:97-8

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