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International equity diversification and shortfall risk

  • Ho, Kwok
  • Milevsky, Moshe Arye
  • Robinson, Chris
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    File URL: http://www.sciencedirect.com/science/article/B6W4D-3XK6XFW-3/2/e8b85e01c82a02101b75e6be7774bab8
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    Article provided by Elsevier in its journal Financial Services Review.

    Volume (Year): 8 (1999)
    Issue (Month): 1 ()
    Pages: 11-25

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    Handle: RePEc:eee:finser:v:8:y:1999:i:1:p:11-25
    Contact details of provider: Web page: http://www.rmi.gsu.edu/FSR/FSRhome.htm

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    1. Maurice Obstfeld., 1993. "Risk-Taking, Global Diversification, and Growth," Center for International and Development Economics Research (CIDER) Working Papers C93-016, University of California at Berkeley.
    2. Philippe Jorion & William N. Goetzmann, 1999. "Global Stock Markets in the Twentieth Century," Journal of Finance, American Finance Association, vol. 54(3), pages 953-980, 06.
    3. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.
    4. Tse, K S Maurice & Uppal, Jamshed & White, Mark A, 1993. "Downside Risk and Investment Choice," The Financial Review, Eastern Finance Association, vol. 28(4), pages 585-605, November.
    5. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
    6. Robert R. Grauer and Nils H. Hakansson., 1987. "Gains from International Diversification: l968-85 Returns on Portfolios of Stocks and Bonds," Research Program in Finance Working Papers 168, University of California at Berkeley.
    7. Jean-Claude Cosset & Jean-Marc Suret, 1995. "Political Risk and the Benefits of International Portfolio Diversification," Journal of International Business Studies, Palgrave Macmillan, vol. 26(2), pages 301-318, June.
    8. Haavisto, Tarmo & Hansson, Bjorn, 1992. " Risk Reduction by Diversification in the Nordic Stock Markets," Scandinavian Journal of Economics, Wiley Blackwell, vol. 94(4), pages 581-88.
    9. Adler, Michael & Dumas, Bernard, 1983. " International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, American Finance Association, vol. 38(3), pages 925-84, June.
    10. 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.
    11. McDonald, John G, 1973. "French Mutual Fund Performance: Evaluation of Internationally-Diversified Portfolios," Journal of Finance, American Finance Association, vol. 28(5), pages 1161-80, December.
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