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Portfolio choice under local industry and country factors

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  • Carlos Castro

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    File URL: http://hdl.handle.net/10.1007/s11408-010-0143-9
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    Bibliographic Info

    Article provided by Springer in its journal Financial Markets and Portfolio Management.

    Volume (Year): 24 (2010)
    Issue (Month): 4 (December)
    Pages: 353-393

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    Handle: RePEc:kap:fmktpm:v:24:y:2010:i:4:p:353-393

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    Web page: http://www.springerlink.com/link.asp?id=119763

    Related research

    Keywords: Portfolio choice; Multifactor asset pricing models; Industry and country factors; G11; G12; G15;

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    1. Brodie, Joshua & Daubechies, Ingrid & De Mol, Christine & Giannone, Domenico & Loris, Ignace, 2008. "Sparse and stable Markowitz portfolios," Working Paper Series 0936, European Central Bank.
    2. Das, Sanjiv Ranjan & Uppal, Raman, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.
    3. Campbell, John & Viceira, Luis, 1999. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," Scholarly Articles 3163266, Harvard University Department of Economics.
    4. Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001. "Variable Selection for Portfolio Choice," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp34, International Center for Financial Asset Management and Engineering.
    5. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
    6. Simone Varotto, 2003. "Credit risk diversification: evidence from the eurobond market," Bank of England working papers 199, Bank of England.
    7. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
    8. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
    9. Chordia, Tarun & Subrahmanyam, Avanidhar & Anshuman, V. Ravi, 2001. "Trading activity and expected stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 59(1), pages 3-32, January.
    10. Hoevenaars, Roy P.M.M. & Molenaar, Roderick D.J. & Schotman, Peter C. & Steenkamp, Tom B.M., 2008. "Strategic asset allocation with liabilities: Beyond stocks and bonds," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(9), pages 2939-2970, September.
    11. Manolis Kavussanos & Stelios Marcoulis & Angelos Arkoulis, 2002. "Macroeconomic factors and international industry returns," Applied Financial Economics, Taylor & Francis Journals, vol. 12(12), pages 923-931.
    12. Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
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    Cited by:
    1. Nandkumar Nayar & Ajai Singh & Wen Yu, 2011. "Unraveling a puzzle: the case of value line timeliness rank upgrades," Financial Markets and Portfolio Management, Springer, Springer, vol. 25(4), pages 379-409, December.

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