haku: @author So, R. W. / yhteensä: 3
viite: 2 / 3
| Tekijä: | SO, R. W. TSE, Y. |
| Otsikko: | A Note on International Portfolio Diversification with Short Selling |
| Lehti: | Review of Quantitative Finance and Accounting
2001 : JUN, VOL. 16:2, p. 311-321 |
| Asiasana: | FINANCE INVESTMENTS SHORT SELLING PORTFOLIO MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | In this paper, the diversification benefits of using stock index futures are examined. Empirical evidence shows that traditional diversification in international equity markets does not produce a risk adjusted performance superior to the US market. An explanation for this result is that restrictions on short selling prohibit the best allocation of resources when overseas stock markets are riskier and have worse returns. However, when such restrictions are eased for short selling in index futures markets, investors are enabled to both allocate their investments more efficiently and to construct a superior portfolio. The paper provides a substantial list of references on this subject. |
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