Diversification opportunities in Euroland appear to have improved significantly since the advent of the euro, thus invalidating the prospects identified in the last years of the convergence-to-EMU period. We identify low frequency movements in the time series of return dispersions suggestive of...

This Paper studies the impact of EMU on portfolio diversification opportunities. We find a significant increase in the correlation between stock returns, whether they are computed on the basis of market or sector indices. This is true for two definitions of the pre-convergence and convergence...

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"The book will be most helpful for readers who are interested in learning about the quantitative side of equity portfolio management, mainly portfolio optimization and risk analysis. Mean-variance portfolio optimization is covered in detail, leading to an extensive discussion on robust portfolio...