A Portfolio Diversification Index Analysis of the Home Bias
Résumé
This paper implements a parsimonious and practical methodology to examine the diversification potential of international equity portfolios. The analysis shows that the Portfolio Diversification Index (Rudin, A.M., and Morgan, J.S., Journal of Portfolio Management [2006]) efficiently replicates a number of stylized facts associated to home bias and local investors' preference for geographically proximate destinations over a sample of 8 developed countries.
Domaines
Economies et finances
Origine : Fichiers produits par l'(les) auteur(s)