The question that this paper raise in this paper is how to choose the best mix of countries to diversify internationally? They compare several methods of asset allocation from a Swiss perspective over the period 1988-2001.

This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.

This paper deals with the country allocation provides benefits over industry allocation in a sample of European country and industry indexes.

Die zunehmende Globalisierung der weltweiten Realwirtschaften hat zu einem Anstieg derKorrelationen zwischen den Aktienmärkten der unterschiedlichen Länder geführt. Damit einhergehendwird für internationale Aktieninvestoren eine Länderdiversifikation ihrer Aktienportefeuillesimmer weniger...

The evidence for international diversification as a means to curtail portfolio risk relies predominantly on short-run data. In this paper, we examine the extent to which the risk reduction benefits of international investment hold in the long-run. Employing a multi-horizon non-parametric filter,...

This paper presents a rational expectations model of asset prices with rationally inattentive investors that, unlike previous papers, explains both the substantial amount of equity wealth invested domestically and the puzzling time series behavior of the home bias - an initial plateau before...

By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

This paper analyses how unconventional monetary policy by the major central banks in developed markets affects the geographical portfolio choice of international mutual fund managers. We find that large-scale asset purchases have significant international spillover effects, in contrast to...