Buch, Claudia M. (contributor); … - 2005
Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks … located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these … optimal portfolios to the actual cross-border assets of banks from 1995-1999 and try to explain the deviations. We find that …