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B. Tims (Ben) and R.J. Mahieu (Ronald)

2003-03-04

International Portfolio Choice

Publication

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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.

Additional Metadata
Keywords international portfolio choice, investment horizon, mean-variance spanning
JEL Portfolio Choice; Investment Decisions (jel G11), Corporate Finance and Governance (jel G3), Business Administration and Business Economics; Marketing; Accounting (jel M), Accounting (jel M41)
Publisher Erasmus Research Institute of Management
Persistent URL hdl.handle.net/1765/276
Series ERIM Report Series Research in Management
Rights Copyright 2003, B. Tims, R. Mahieu, This report in the ERIM Report Series Research in Management is intended as a means to communicate the results of recent research to academic colleagues and other interested parties. All reports are considered as preliminary and subject to possibly major revisions. This applies equally to opinions expressed, theories developed, and data used. Therefore, comments and suggestions are welcome and should be directed to the authors.
Organisation Erasmus Research Institute of Management
Citation
Tims, B., & Mahieu, R. (2003). International Portfolio Choice (No. ERS-2003-011-F&A). ERIM Report Series Research in Management. Retrieved from http://hdl.handle.net/1765/276


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