This paper investigates the dynamics of international stock return correlations between the U.S., the U.K., Germany and France. Estimated correlations are modeled in an ARDL framework to evaluate how the market-wide uncertainty in the U.S. affects international stock market comovements. Results...

Portfolio optimization is the main concern for portfolio managers. Financial securities are placed within the portfolio based on the investor’s risk tolerance. The study measures the risk-reward relationship when the number of stocks in the portfolio increases. Six diverse portfolios have been...