کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
982304 | 1480468 | 2009 | 36 صفحه PDF | دانلود رایگان |

This paper empirically investigates the potential benefits of international diversification for the U.S. investor with various investment constraints from both long-term and time-rolling perspectives. While the addition of portfolio bounds makes asset allocation more feasible, our findings suggest that adding short-selling and over-weighting constraints reduce but do not completely eliminate the diversification benefits of international investment. The over-time analyses show that diversifying portfolios internationally is still beneficial even though financial markets are becoming more integrated. The out-of-sample test suggests that the Markowitz model does not necessarily realize improved mean–variance efficiency but demonstrates risk reduction. The significant time variation in optimal asset allocation implies the necessity for the fund manager to rebalance international portfolio dynamically.
Journal: The Quarterly Review of Economics and Finance - Volume 49, Issue 2, May 2009, Pages 448–483