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Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets

Mohamed Arouri (), Duc Khuong Nguyen and Kuntara Pukthuanthong

No 2014-294, Working Papers from Department of Research, Ipag Business School

Abstract: We investigate the diversification benefits and optimal portfolio allocation across different US asset classes. Our results from applying the principal component analysis (PCA) show that although there is an increasing trend in market integration, five

Keywords: US asset classes; portfolio allocation; market integration; contagion; principal component analysis. (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2014-01-01
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