Lu, Jin-Ray; Chan, Chih-Ming; Wen, Mei-Hui - In: Journal of International Financial Markets, … 22 (2012) 5, pp. 1292-1306
This study analyzes the asset allocations of simple international portfolios that include domestic risky assets, foreign risky assets, and domestic risk-free bonds, through a theoretical analysis. A close-form solution for the optimal holding rates is derived, and can be further sub-divided into...