Arbeitspapier
Geographic versus industry diversification: constraints matter
This research addresses whether geographic diversification provides benefits over industry diversification. In the absence of constraints, no empirical evidence is found to support the argument that country diversification is superior. With short-selling constraints, however, the geographic tangency portfolio is not attainable by industry portfolios. Results with upper and lower constraints on portfolio weights as well as an out-of-sample analysis show that geographic diversification almost consistently outperforms industry portfolios, although we cannot establish statistical significance.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 425
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
International Financial Markets
- Thema
-
block-bootstrap tests
Diversification gains
EMU
geographic diversification
industry diversification
Portfolio-Management
Risikoaversion
Kapitalanlage
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ehling, Paul
Ramos, Sofia Brito
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ehling, Paul
- Ramos, Sofia Brito
- European Central Bank (ECB)
Entstanden
- 2005
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