Current U.S. law nets the total portfolio of realized capital gains and losses to compute capital gains taxes. Prior … depends on the taxpayer's total portfolio of realized gains and losses. We find that these nettings introduce complexity into …

Nontrivial diversification possibilities arise when a factor model describes security returns. In this paper, we …. First, increasing the number of securities included in the analysis dramatically improves basis portfolio performance. Our …-MacBeth portfolio formation procedure, which we call the minimum idiosyncratic risk portfolio formation procedure, outperformed the Fama …

would imply about the diversification potential across countries. For this purpose, I examine two basic groups of … group since this is the standard approach in the international diversification literature, while I study the second group … since some have argued that US-listed foreign stocks are the more natural diversification vehicle (Errunza et al (1999)). In …

portfolio - inclusive of multinationals - provides diversification benefits. The economic importance of the shift of the … portfolio frontier - measured as the utility gain from diversification - varies considerably from market to market and often …One possible explanation for home bias is that investors may obtain indirect international diversification benefits by …

Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from … emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits … significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to …

The benefits of international diversification have been recognized for decades. In spite of this, most investors hold … portfolio holdings of investors in the U.S., Japan, and Britain. More than 98% of the equity portfolio of Japanese investors is … preferences and behavior to show that current portfolio patterns imply that investors in each nation expect returns in their …

Using a continuous-time finance-theoretic framework, this paper presents the optimal portfolio rule of an international … that the currency portfolio rule described in Macedo (1982a) is applicable to the case where there are N assets with a … optimal portfolio of an investor consuming goods from all major industrialized countries (according to their weight in total …