A Portfolio Diversification Index Analysis of the Home Bias

Erkin Diyarbakirlioglu
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Erkin Diyarbakirlioglu: IRG - Institut de Recherche en Gestion - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12 - Université Gustave Eiffel

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Abstract: This paper implements a parsimonious and practical methodology to examine the diversification potential of international equity portfolios. The analysis shows that the Portfolio Diversification Index (Rudin, A.M., and Morgan, J.S., Journal of Portfolio Management [2006]) efficiently replicates a number of stylized facts associated to home bias and local investors' preference for geographically proximate destinations over a sample of 8 developed countries.

Keywords: Portfolio diversification index; Home bias; Diversification (search for similar items in EconPapers)
Date: 2011-05
Note: View the original document on HAL open archive server: https://hal.science/hal-03642476v1
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Published in Financial Management Association Applied Finance conference, May 2011, New York, United States

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