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International Diversification <i>Versus</i> Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches

Abid, Fathi; Leung, Pui Lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 45-66

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification<i> versus</i> domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification...

Persistent link: https://www.econbiz.de/10011031460

International diversification versus domestic diversification: Mean-variance portfolio optimization and stochastic dominance approaches

Abid, Fathi; Leung, Pui Lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 45-66

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors' viewpoints. Our PO results imply that the domestic diversification...

Persistent link: https://www.econbiz.de/10011843243