Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets
Mohamed Arouri (),
Duc Khuong Nguyen and
No 2014-294, Working Papers from Department of Research, Ipag Business School
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
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