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A review of recent developments in international portfolio selection

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  • Brian Hatch
  • Bruce Resnick
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    Abstract

    This review begins with a foundation for inspection of the potential gains from international diversification by citing the results of the seminal works in the area. From that point, the review examines recent ex-post studies, adaptation to currency risk, consideration of bond investment, the development of ex-ante strategies, and the consideration of market imperfections. The prevailing impression from this review is that international investment can potentially provide superior performance to solely domestic investment. However, it is a matter of developing the correct strategy to exploit the opportunities. Copyright Kluwer Academic Publishers 1993

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    File URL: http://hdl.handle.net/10.1007/BF00999555
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    Bibliographic Info

    Article provided by Springer in its journal Open Economies Review.

    Volume (Year): 4 (1993)
    Issue (Month): 1 (March)
    Pages: 83-96

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    Handle: RePEc:kap:openec:v:4:y:1993:i:1:p:83-96

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    Web page: http://www.springerlink.com/link.asp?id=100323

    Related research

    Keywords: diversification; correlation; ex-ante strategies; currency risk; hedging;

    References

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    1. Alan M Rugman, 1976. "Risk Reduction by International Diversification," Journal of International Business Studies, Palgrave Macmillan, vol. 7(2), pages 75-80, June.
    2. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
    3. Severn, Alan K, 1974. "Investor Evaluation of Foreign and Domestic Risk," Journal of Finance, American Finance Association, vol. 29(2), pages 545-50, May.
    4. Panton, Don B. & Lessig, V. Parker & Joy, O. Maurice, 1976. "Comovement of International Equity Markets: A Taxonomic Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(03), pages 415-432, September.
    5. Nahum Biger, 1979. "Exchange Risk Implications of International Portfolio Diversification," Journal of International Business Studies, Palgrave Macmillan, vol. 10(2), pages 63-74, June.
    6. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.
    7. Madura, Jeff, 1985. "International portfolio construction," Journal of Business Research, Elsevier, vol. 13(1), pages 87-95, February.
    8. Chamberlain, Trevor W. & Cheung, C. Sherman & Kwan, Clarence C. Y., 1990. "International investment and currency risk," Journal of Economics and Business, Elsevier, vol. 42(2), pages 141-152, May.
    9. Grubel, Herbert G & Fadner, Kenneth, 1971. "The Interdependence of International Equity Markets," Journal of Finance, American Finance Association, vol. 26(1), pages 89-94, March.
    10. Eun, Cheol S & Resnick, Bruce G, 1984. " Estimating the Correlation Structure of International Share Prices," Journal of Finance, American Finance Association, vol. 39(5), pages 1311-24, December.
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    Cited by:
    1. Bracker, Kevin & Koch, Paul D., 1999. "Economic determinants of the correlation structure across international equity markets," Journal of Economics and Business, Elsevier, vol. 51(6), pages 443-471.

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