 International Portfolio ChoiceBen Tims and Ronald Mahieu ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam Abstract: In this paper we analyze the impact of the investment horizon on international port-folio choice. We approach this issue by considering whether or not an investor shouldadd investments from other countries to an existing portfolio. The statistical teststhat we employ (spanning tests) are based on whether or not the investment spacecan significantly be expanded within a mean-variance framework. Our results indi-cate that for a U.S. based investor with a mean-variance utility function diversifyingtowards other countries and asset classes depends on the investment horizon. This holds especially for portfolios that originally consist of investments in bonds. Keywords: international portfolio choice; investment horizon; mean-variance spanning (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ems:eureri:276 Access Statistics for this paper More papers in ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam Contact information at EDIRC. |
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