How To Diversify Internationally: A Comparison of Conditional and Unconditional Asset Allocation Methods

Laurent Barras, and Dusan Isakov
Additional contact information
Laurent Barras,: HEC-University of Geneva and FAME

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: To obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction stemming from the lower correlation exisiting between assets of different countries. The question that we raise in this paper is how to choose the best mix of countries to diversify internationally? We compare several methods of asset allocation from a Swiss perspective over the period 1988-2001. We simulate different investment policies and compare conditional and unconditional methods. We find that conditional methods, that explicitly assume time-variation in expected returns, outperform all other asset allocation methods.

Keywords: portfolio management; international diversification; asset pricing models; conditioning information (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2001-11
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.swissfinanceinstitute.ch/rp37.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.swissfinanceinstitute.ch/rp37.pdf [301 Moved Permanently]--> https://www.sfi.ch/rp37.pdf [302 Found]--> https://www.sfi.ch/en/rp37.pdf)

Related works:
Working Paper: How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods (2001)
Working Paper: How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fam:rpseri:rp37

Access Statistics for this paper

More papers in FAME Research Paper Series from International Center for Financial Asset Management and Engineering Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().