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Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets

Listed author(s):
  • Mohamed Arouri
  • Duc Khuong Nguyen
  • Kuntara Pukthuanthong

We investigate the diversification benefits and optimal portfolio allocation across different US asset classes. Our results from applying the principal component analysis (PCA) show that although there is an increasing trend in market integration, five

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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-294.

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Length: 45 pages
Date of creation: 01 Jan 2014
Handle: RePEc:ipg:wpaper:2014-294
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Phone: 33 1 53 63 36 00
Web page: http://www.ipag.fr

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