Bugàr, Gyöngyi () (Janus Pannonius University of Pécs, Faculty of Business and Economics) Maurer, Raimond () (Lehrstuhl fuer Investment, Portfolio Management und Alterssicherung)
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In this paper, we study the benefits derived from international diversification of stock portfolios from Hungarian as well as German point of view. The Hungarian Stock Exchange is an emerging market, in contrast to this the German capital market is one of the largest markets in the world. In an ex post perspective the benefits from internationally diversified portfolios for Hungarian investors accrue aonly in terms of reduction in risk while for German investors also in terms of higher expected returns. By examining the performance of several ex ante strategies the paper also presents evidence on the benefits from international diversification for both countries. The strategies considered are the equally weighted, the minimum variance, the tangency and an equal risk portfolio. Transaction costs as well as estimation risk are taken into cosideration.
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Paper provided by Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number
97-36.
Length: 28 pages Date of creation: 14 Nov 1997 Date of revision: Handle: RePEc:xrs:sfbmaa:97-36
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