International Portfolio Choice
In this paper we analyze the impact of the investment horizon on international port-folio choice. We approach this issue by considering whether or not an investor shouldadd investments from other countries to an existing portfolio. The statistical teststhat we employ (spanning tests) are based on whether or not the investment spacecan significantly be expanded within a mean-variance framework. Our results indi-cate that for a U.S. based investor with a mean-variance utility function diversifyingtowards other countries and asset classes depends on the investment horizon. This holds especially for portfolios that originally consist of investments in bonds.
|Keywords||international portfolio choice, investment horizon, mean-variance spanning|
|Publisher||Erasmus Research Institute of Management (ERIM)|
Tims, B., & Mahieu, R.J.. (2003). International Portfolio Choice (No. ERS-2003-011-F&A). Erasmus Research Institute of Management (ERIM). Retrieved from http://hdl.handle.net/1765/276