کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
968760 | 931657 | 2009 | 18 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Benefits of international diversification with investment constraints: An over-time perspective Benefits of international diversification with investment constraints: An over-time perspective](/preview/png/968760.png)
This paper investigates the benefits and asset allocation of the optimal international diversification for the U.S.A. investor while considering various portfolio constraints. Although the global financial market is becoming more integrated, the findings suggest that adding lower and upper weighting bounds reduces, but does not completely eliminate, the potential economic value of international investment. The addition of investment constraints makes asset allocation more feasible and decreases the volatility in portfolio return. The time-variation in the optimal asset allocation implies that fund managers should rebalance international portfolios dynamically. The out-of-sample test suggests that the Markowitz model with constraints realizes trivial improvement in mean-variance efficiency but still demonstrates significant reduction in risk.
Journal: Journal of Multinational Financial Management - Volume 19, Issue 2, April 2009, Pages 93–110