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| Author: | Eun, C. Resnick, B. |
| Title: | International diversification of investment portfolios: U.S. and Japanese perspectives |
| Journal: | Management Science
1994 : JAN, VOL. 40:1, p. 140-161 |
| Index terms: | USA JAPAN DIVERSIFICATION |
| Language: | eng |
| Abstract: | In this paper, the authors analyze the gains from international diversification of investment portfolios form the Japanese as well as the U.S. perspectives. The major findings of this paper include: First, the "potential" gains from international, as opposed to purely domestic, diversification are much greater for U.S. investors than for Japanese investors. Second, using various "ex ante" international investment strategies designed to control parameter uncertainty, U.S. investors can realize substantial gains from international diversification in out-of-sample periods. |
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