Determinants of global portfolio composition

Majed Muhtaseb

Applied Economics Letters, 1997, vol. 4, issue 8, 503-505

Abstract: The efficient set is derived using unhedged returns of stock market indices of 'Group of Seven' countries. It is found that total risk is far more important than return in determining whether or not a stock market index is included in an optimal portfolio on the efficient set.

Date: 1997
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DOI: 10.1080/758536634

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