Portfolio Diversification: Alive and Well in Euroland!
AbstractDiversification opportunities in Euroland appear to have improved significantly since the advent of the euro, thus invalidating the prospects identified in the last years of the convergence-to-EMU period. We identify low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations. The most recent post-euro period is clearly associated with an important upswing with return dispersions exceeding for the first time their peaks of the early nineties.
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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 3086.
Date of creation: Nov 2001
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- Kpate Adjaoute & Jean-Pierre Danthine, 2004. "Portfolio diversification: alive and well in Euro-land!," Applied Financial Economics, Taylor and Francis Journals, vol. 14(17), pages 1225-1231.
- Kpaté ADJAOUTE & Jean-Pierre DANTHINE, 2001. "Portfolio Diversification: Alive and Well in Euroland!," FAME Research Paper Series rp32, International Center for Financial Asset Management and Engineering.
- Kpate ADJAOUTE & Jean-Pierre DANTHINE, 2001. "Portfolio Diversification: Alive and well in Euroland !," Cahiers de Recherches Economiques du DÃ©partement d'EconomÃ©trie et d'Economie politique (DEEP) 01.08, Université de Lausanne, Faculté des HEC, DEEP.
- Adjaoute, K. & Danthine, J.P., 2001. "Portfolio Diversification: Alive and well In Euroland," Papers 32, Manitoba - Department of Economics.
- 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
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