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Optimization, cointegration and diversification gains from international portfolios: an out-of-sample analysis

Author

Listed:
  • Chanwit Phengpis

    ()

  • Peggy Swanson

    ()

Abstract

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Suggested Citation

  • Chanwit Phengpis & Peggy Swanson, 2011. "Optimization, cointegration and diversification gains from international portfolios: an out-of-sample analysis," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 269-286, February.
  • Handle: RePEc:kap:rqfnac:v:36:y:2011:i:2:p:269-286
    DOI: 10.1007/s11156-010-0174-3
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    File URL: http://hdl.handle.net/10.1007/s11156-010-0174-3
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    Citations

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    Cited by:

    1. Oehler, Andreas & Wendt, Stefan & Horn, Matthias, 2017. "Are investors really home-biased when investing at home?," Research in International Business and Finance, Elsevier, vol. 40(C), pages 52-60.
    2. Andreas Oehler & Stefan Wendt & Matthias Horn, 2016. "Internationalization of Blue-Chip versus Mid-Cap Stock Indices: an Empirical Analysis for France, Germany, and the UK," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 501-518, December.
    3. Nafeesa Yunus, 2013. "Dynamic interactions among property types: International evidence based on cointegration tests," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 31(2), pages 135-159, March.

    More about this item

    Keywords

    iShares; International portfolios; Cointegration; Portfolio performance; F30; G11; G15;

    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

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