Download or read book Portfolio Performance and the Euro written by Rainer F. H. Haselmann and published by . This book was released on 2008 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Entering the EMU removes currency risk for assets originating in the Euro area while diversification opportunities are likely reduced. Taking the perspective of an investor in one of the 12 countries that joined the EU in 2004/2007 we contrast actual optimal composition of international equity holdings against two artificial scenarios: Costless hedging against exchange rate risk and presuming the local market to be part of the EMU. State specific optimal portfolios are determined from realized covariances for the period 2000 to 2006. Optimized risk is found smaller under currency unification and implied Sharp ratios signal significant benefits of EMU participation.