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Portfolio Diversification: Alive and Well in Euroland!

This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.
Year of publication:
2001-07-01
Authors: Adjaouthe, Kpate ; Danthine, Jean-Pierre
Publisher: International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject: Euro <Währung> | Portfolio Selection | Diversifikation | Diversification gains | Europäische Union Wirtschafts- und Währungsunion
  • 1. Introduction
  • 2. The long sample
  • 3. The euro sample
  • 4. Cross-sectional dispersion of returns
  • 5. Conclusions
Persistent link: https://www.econbiz.de/10005843251
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