Determinants of global portfolio composition

The efficient set is derived using unhedged returns of stock market indices of 'Group of Seven' countries. It is found that total risk is far more important than return in determining whether or not a stock market index is included in an optimal portfolio on the efficient set.

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Year of publication:	1997
Authors:	Muhtaseb, Majed
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 4.1997, 8, p. 503-505
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009202591