International Portfolio Choice
AbstractIn this paper we analyze the impact of the investment horizon oninternational port-folio choice. We approach this issue by consideringwhether or not an investor shouldadd investments from other countriesto an existing portfolio. The statistical teststhat we employ(spanning tests) are based on whether or not the investment spacecansignificantly be expanded within a mean-variance framework. Ourresults indi-cate that for a U.S. based investor with a mean-varianceutility function diversifyingtowards other countries and asset classesdepends on the investment horizon. This holds especially forportfolios that originally consist of investments in bonds.
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Bibliographic InfoPaper provided by Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. in its series Research Paper with number ERS-2003-011-F&A.
Date of creation: 04 Mar 2003
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international portfolio choice; investment horizon; mean-variance spanning;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-03-10 (All new papers)
- NEP-FIN-2003-03-10 (Finance)
- NEP-FMK-2003-03-10 (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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