Optimization, cointegration and diversification gains from international portfolios: an out-of-sample analysis
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 36 (2011)
Issue (Month): 2 (February)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
iShares; International portfolios; Cointegration; Portfolio performance; F30; G11; G15;
Find related papers by JEL classification:
- F30 - International Economics - - International Finance - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Estimation of Common Long-Memory Components in Cointegrated Systems,"
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- Li, Kai & Sarkar, Asani & Wang, Zhenyu, 2003. "Diversification benefits of emerging markets subject to portfolio constraints," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 57-80, February.
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- Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
- Choi, Jongmoo Jay & Lee, Insup, 1996. " Market Segmentation and the Valuation of Closed-End Country Funds: An Empirical Analysis," Review of Quantitative Finance and Accounting, Springer, vol. 7(1), pages 45-63, July.
- Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
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