We conjecture that partially segmented stock indexes that are characterized by low correlation with the world market … implies a negative relation between correlation and future index returns in the presence of segmented indexes. Empirical …, we do not observe a similar pattern for country indexes. Thus, cross-industry diversification is superior to cross …

A portfolio diversification index is defined as the ratio of an equivalent number of independent assets to the number … of assets. The equivalence is based on either attaining the same diversification benefit or spread reduction. The … diversification benefit is the difference in value of a value maximizing portfolio and the maximum value of the components. The spread …

. In the longer run, however, a trade-off between diversification and climate action emerges. We derive the optimal carbon …

diversification should not just focus on the correlation among international financial markets and should adopt a fully parameterized … of a financial crisis on the gains from international diversification cannot be solely determined by the correlation …–2009 subprime crisis affect the gains from international diversification from the perspective of US investors. Design …

In this chapter we show that, as the world becomes increasingly integrated, the benefits of global diversification … international integration, measured by adjusted from a multifactor model, has more profound impact on the diversification benefits … than correlation. Our results support Roll (2013)'s argument that, but not correlation, is an appropriate measure of market …

premium depends on its covariance with the world market portfolio and, possibly, with exchange rate changes. The existing … empirical evidence shows that a country's risk premium depends on its covariance with the world market portfolio and that there …