It is already well known that U.S. investors can achieve higher gains by investing directly in emerging markets (De Santis, 1997). Given the opportunity to invest directly in the shares of stocks in the developed (DCs) and emerging (EM) markets, it is interesting to know whether the U.S....

This paper examines the benefits of diversifying into real estate and other assets that typify the wealth held by Japanese investors by examining movements in mean variance frontiers. We employ spanning tests to assess statistical significance of frontier shifts without specifying a benchmark...