Geographic versus industry diversification: constraints matter

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 425

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; International Financial Markets
• Subject: block-bootstrap tests ; Diversification gains ; EMU ; geographic diversification ; industry diversification ; Portfolio-Management ; Risikoaversion ; Kapitalanlage ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Ehling, Paul ; Ramos, Sofia Brito
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2005

Further information

• Handle: http://hdl.handle.net/10419/152859
• Last update: 10.03.2025, 11:42 AM CET